Sanso, Andreu; Ortuno, Manuel Artis; Caralt, Jordi Surinach - Facultat d'Economia i Empresa, Universitat de Barcelona - 1998
In this paper we carry out a broad simulation experiment where the finite sample behaviour of two parametric seasonal unit root tests for monthly data is studied. In concrete, we analyse the performance of both the Franses (1991) and Canova and Hansesn (1995) procedures. We point out, among...