Gaussian Tests for Seasonal Unit Roots in Periodical Heteroscedastic Time Series
周期异方差时间序列中季节单位根的Gauss 检验

The paper propose test statistics based on Cauchy estimation for unit root with periodical heteroscedastic shocks in seasonal time series.Under null hypothesis,the limit distributions of statistics are standard normal regardless of the period of seasonality and periodical heteroscedasticity of shocks.By Monte Carlo simulation,it is obtained that the estimators have smaller errors by this method than LSE when the autoregressive coefficient is close to 1.Simulations and a real example show the convenience and validity of this test method.