Munich Personal RePEc Archive

Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests

B. da Silva Lopes, Artur C. (2005): Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests.

[img]
Preview
PDF
MPRA_paper_125.pdf

Download (181kB) | Preview

Abstract

In this paper it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts - i.e., seasonal structural breaks which affect only the deterministic seasonal cycle - really do matter for Dickey-Fuller long-run unit root tests.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.