On the performance of the DHF tests against nonstationary alternatives

Tomás del Barrio Castro

Statistics & Probability Letters, 2006, vol. 76, issue 3, 291-297

Abstract: The distributions of the Dickey Hasza Fuller [1984. Testing for unit roots in seasonal time series. J. Amer. Statist. Assoc. 79, 355-367] tests are obtained when the sources of nonstationarity are the factors (1-L),(1+L),(1+L2),(L-L2) and (1+L+L2+L3). It is shown that the tests do not diverge to minus infinity in these situations.

Keywords: Seasonality; Vector; of; quarters; Unit; root; tests; DHF; test (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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