FINITE SAMPLE EFFECTS OF PURE SEASONAL MEAN SHIFTS ON DICKEY–FULLER TESTS: A SIMULATION STUDY

Artur Silva Lopes ()

Manchester School, 2008, vol. 76, issue 5, 528-538

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 seasonal cycle—really do matter for Dickey–Fuller long‐run unit root tests. Both size and power properties are affected by such breaks but using the t‐sig method for lag selection induces a stabilizing effect. Although most results are reassuring when the t‐sig method is used, some concern with this type of breaks cannot be disregarded. Further evidence on the poor performance of the t‐sig method for quarterly time series in standard (no‐break) cases is also presented.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/j.1467-9957.2008.01074.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:manchs:v:76:y:2008:i:5:p:528-538

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1463-6786

Access Statistics for this article

Manchester School is currently edited by Keith Blackburn

More articles in Manchester School from University of Manchester Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().