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:	[2006]
Authors:	da Silva Lopes, Artur C.B.
Publisher:	[2006]: [S.l.] : SSRN
Subject:	Einheitswurzeltest \| Unit root test \| Saisonale Schwankungen \| Seasonal variations \| Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory

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