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

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  • B. da Silva Lopes, Artur C.

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.

Suggested Citation

  • B. da Silva Lopes, Artur C., 2005. "Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests," MPRA Paper 125, University Library of Munich, Germany, revised May 2006.
    • Handle: RePEc:pra:mprapa:125
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    File URL: https://mpra.ub.uni-muenchen.de/125/1/MPRA_paper_125.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    unit roots; seasonality; Dickey-Fuller tests; structural breaks;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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