• Journal of the Korean Statistical Society
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• v.30 no.4
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• pp.597-612
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• 2001

We have developed a \

• Journal of the Korean Statistical Society
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• v.27 no.1
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• pp.57-66
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• 1998

In the analysis of time series it is an important issue to determine whether a time series under study is stationary. For the test of the stationary of the time series the Dickey-Fuller (DF) type tests have been mainly used. In this paper, we consider the regular unit root tests and seasonal unit root tests based on the generalized Durbin-Watson (DW) statistics when the errors are independent. The limiting distributions of the proposed DW-type test statistics are the functionals of standard Brownian motions. We also obtain the finite distributions and powers of the DW-type test statistics and compare the performances with the DF-type tests. It is observed that the DW-type test statistics have good behaviors against the DF-type test statistics especially in the nonzero (seasonal) mean model.