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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.

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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.

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