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The Dickey-Fuller Test Family and Changes in the Seasonal Pattern

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  • Antonio Montanes
  • Andreu Sanso

Abstract

This paper studies the asymptotic behaviour of the Dickey-Fuller family of tests when the variable being considered exhibits a break in the seasonal pattern. We show that the Dickey-Fuller test tends to reject the unit root null hypothesis, except when the break affects all the periods in a similar manner. By contrast, the Dickey-Hasza-Fuller test is biased towards the acceptance of its null hypothesis, the larger the break magnitudes.

Suggested Citation

  • Antonio Montanes & Andreu Sanso, 2001. "The Dickey-Fuller Test Family and Changes in the Seasonal Pattern," Annals of Economics and Statistics, GENES, issue 61, pages 73-90.
    • Handle: RePEc:adr:anecst:y:2001:i:61:p:73-90
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    File URL: http://www.jstor.org/stable/20076270
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    Cited by:

    1. Kiki Verico, 2021. "Global Pandemic 2020: Indonesia’s Output Gap and Middle-Income Trap Scenario," LPEM FEBUI Working Papers 202157, LPEM, Faculty of Economics and Business, University of Indonesia, revised 2021.

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