Seasonal unit root tests with structural breaks in deterministic seasonality

The seasonal root tests of Hylleberg et al (1990) are extended using the sequential approach of Zivot and Andrews (1992). This paper presents Monte Carlo evidence to support a sequential approach to estimation and critical values are estimated. It is demonstrated that non-stationary data with structurally unstable deterministic seasonality can lead to low power in standard tests for seasonal roots. The sequential tests are applied to US agricultural price data and macroeconomic data and compared with the standard tests. Seasonal roots are rejected in all series.