LOPES, ARTUR C. B. DA SILVA - In: Manchester School 76 (2008) 5, pp. 528-538
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 seasonal cycle-really do matter for Dickey-Fuller long-run unit root tests. Both size and power properties are affected by such...