{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2022,3,29]],"date-time":"2022-03-29T20:36:50Z","timestamp":1648586210175},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2002,7,17]],"date-time":"2002-07-17T00:00:00Z","timestamp":1026864000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2002,10]]},"abstract":"<jats:p>This paper investigates the limiting properties of the Canova \nand Hansen test, testing for the null hypothesis of no unit \nroot against seasonal unit roots, under a sequence of local \nalternatives with the model extended to have seasonal dummies \nand trends or no deterministic term and also only seasonal dummies. \nWe derive the limiting distribution of the test statistic and \nits characteristic function under local alternatives. We find \nthat the local limiting power is an inverse function of the \nspectral density at frequency \u03c0 (\u03c0\/2) when we test \nagainst a negative unit root (annual unit roots). We also \ntheoretically show that the local limiting power of the Canova \nand Hansen test against a negative unit root (annual unit roots) \ndoes not increase when the true process has annual unit roots \n(a negative unit root) but not a negative unit root (annual unit \nroots), which has been observed in Monte Carlo simulations in such \nresearch as Caner (1998, <jats:italic>Journal of Business and Economic \nStatistics<\/jats:italic> 16, 349\u2013356), Canova and Hansen (1995, \n<jats:italic>Journal of Business and Economic Statistics<\/jats:italic> 13, 237\u2013252), \nand Hylleberg (1995, <jats:italic>Journal of Econometrics<\/jats:italic> 69, 5\u201325).<\/jats:p>","DOI":"10.1017\/s0266466602185082","type":"journal-article","created":{"date-parts":[[2002,11,14]],"date-time":"2002-11-14T22:03:05Z","timestamp":1037311385000},"page":"1197-1220","source":"Crossref","is-referenced-by-count":0,"title":["THE LIMITING PROPERTIES OF THE CANOVA AND HANSEN TEST UNDER \nLOCAL ALTERNATIVES"],"prefix":"10.1017","volume":"18","author":[{"given":"Eiji","family":"Kurozumi","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2002,7,17]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466602185082","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,7]],"date-time":"2019-05-07T00:32:55Z","timestamp":1557189175000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466602185082\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2002,7,17]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2002,10]]}},"alternative-id":["S0266466602185082"],"URL":"https:\/\/doi.org\/10.1017\/s0266466602185082","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2002,7,17]]}}}