Chambers, Marcus J.; Ercolani, Joanne S.; Taylor, A.M. … - In: Journal of Econometrics 178 (2014) P2, pp. 243-258
This paper develops univariate seasonal unit root tests based on spectral regression estimators. An advantage of the frequency domain approach is that it enables serial correlation to be treated non-parametrically. We demonstrate that our proposed statistics have pivotal limiting distributions...