On the performance of the DHF tests against nonstationary alternatives

The distributions of the Dickey Hasza Fuller [1984. Testing for unit roots in seasonal time series. J. Amer. Statist. Assoc. 79, 355–367] tests are obtained when the sources of nonstationarity are the factors (1-L),(1+L),(1+L2),(L-L2)(1-L),(1+L),(1+L2),(L-L2) and (1+L+L2+L3)(1+L+L2+L3). It is shown that the tests do not diverge to minus infinity in these situations.