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A note on the application of the DF test to seasonal data

Paulo Rodrigues ()

Statistics & Probability Letters, 2000, vol. 47, issue 2, 171-175

Abstract: In this note the application of the Dickey and Fuller test procedure to seasonal unadjusted data is discussed. In particular, two alternative forms of employing the test are examined and contrasted, as well as, potential problems highlighted.

Keywords: Dickey-Fuller; test; Seasonal; unit; roots; Asymptotic; distribution (search for similar items in EconPapers)
Date: 2000
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Handle: RePEc:eee:stapro:v:47:y:2000:i:2:p:171-175