ARE SEASONAL PATTERNS CONSTANT OVER TIME - A TEST FOR SEASONAL STABILITY

This article introduces Lagrange multiplier tests of the null hypothes is of no unit roots at seasonal frequencies against the alternative of a unit root at either a single seasonal frequency or a set of seasona l frequencies. The tests complement those of Dickey, Hasza, and Fuller and Hylleberg, Engle, Granger, and Yoo that examine the null of seaso nal unit roots. We derive an asymptotic distribution theory for the te sts, and investigate their size and power with a Monte Carlo exercise. Application of the tests to three sets of seasonal variables shows th at in most cases seasonality is nonstationary.