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

Antonio Montañés and Andreu Sansó

Annals of Economics and Statistics, 2001, issue 61, 73-90

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.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:2001:i:61:p:73-90

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