A LOCALLY OPTIMAL SEASONAL UNIT-ROOT TEST

This article proposes a locally best invariant test of the null hypoth esis of seasonal stationarity against the alternative of seasonal unit roots at all or individual seasonal frequencies. An asymptotic distri bution theory is derived and the finite-sample properties of the test are examined in a Monte Carlo simulation. My test is also compared wit h the Canova and Hansen test. The proposed test is superior to the Can ova and Hansen test in terms of both size and power.