ABSTRACT
There is now a well-established literature relating to the problem of testing for nonstationarity in seasonal economic time-series data. For example, some of the earlier literature on this topic can be found in Hylleberg (1992), and a more recent overview is given by Franses (1997). This issue is of considerable importance as the distinction needs to be drawn between unit roots at the zero frequency, and unit roots at some or all of the seasonal frequencies in the case of nonannual data. An incorrect identification of the nature of such unit roots would lead to inappropriate filtering of the series prior to its use in regression analysis, say, as well as inadequate testing for possible cointegration between one such series and another.
