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.

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.

• Item Type: MPRA Paper
• Language: English
• 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

References

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