B. da Silva Lopes, Artur C. (2005): Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests|
|Keywords:||unit roots; seasonality; Dickey-Fuller tests; structural breaks|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
|Depositing User:||Artur C. B. da Silva Lopes|
|Date Deposited:||05. Oct 2006|
|Last Modified:||17. Feb 2013 17:07|
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