Sample size, lag order and critical values of seasonal unit root tests

This paper presents a response surface analysis for the distributions of the popular tests for seasonal unit roots in quarterly observed time series variables developed by Hylleberg et al. (1990). Approximate asymptotic distributions are obtained, and response surface coefficients for 1%-, 5%- and 10%-level critical values are reported, permitting simple computation of accurate critical values for any sample size and lag order. Five test statistics are considered, along with five different specifications of the deterministic component in the test regression; allowance is also made for the lag order to be determined endogenously, using commonly applied selection methods. Dependence of the critical values and the probability density functions on the sample size and lag order is also investigated