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

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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Year of publication:	2005-10-15
Authors:	B. da Silva Lopes, Artur C.
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	unit roots \| seasonality \| Dickey-Fuller tests \| structural breaks

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C5 - Econometric Modeling ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005619442