In this paper we derive, under the assumption of Gaussian errors with known errorcovariance matrix, asymptotic local power bounds for seasonal unit root tests for bothknown and unknown deterministic scenarios and for an arbitrary seasonal aspect. Wedemonstrate that the optimal test of a unit...

In this paper, test procedures for no fractional cointegration against possible breaks in the persistence structure of a fractional cointegrating relationship are introduced. The tests proposed are based on the supremum of the Hassler and Breitung (2006) test statistic for no cointegration over...