Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?

Artur Silva Lopes ()

Econometrics from University Library of Munich, Germany

Abstract: This paper investigates the properties of Dickey-Fuller tests for seasonally unadjusted quarterly data when deterministic seasonality is present but it is neglected in the test regression. While for the random walk case the answer is straightforward, an extensive Monte Carlo study has to be performed for more realistic processes and testing strategies. The most important conclusion is that the common perception that deterministic seasonality has nothing to do with the long-run properties of the data is incorrect. Further numerical evidence on the shortcomings of the general-to-specific t-sig lag selection method is also presented.

Keywords: unit root; Dickey-Fuller tests; similar tests; seasonality; Monte Carlo (search for similar items in EconPapers)
JEL-codes: C22 C52 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2004-02-14, Revised 2004-03-18
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-rmg
Note: Type of Document - pdf; prepared on Win98; pages: 22. version 2.0
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0402/0402007.pdf (application/pdf)

Related works:
Journal Article: Deterministic seasonality in Dickey–Fuller tests: should we care? (2006)
Working Paper: Deterministic Seasonality In Dickey-Fuller Tests: Should We Care? (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0402007

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