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

Artur Silva Lopes ()

MPRA Paper from University Library of Munich, Germany

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.

Keywords: unit roots; seasonality; Dickey-Fuller tests; structural breaks (search for similar items in EconPapers)
JEL-codes: C22 C5 (search for similar items in EconPapers)
Date: 2005-10-15, Revised 2006-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:125

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