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

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  • Rodrigues, Paulo M. M.

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.

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Bibliographic Info

Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 47 (2000)
Issue (Month): 2 (April)
Pages: 171-175

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Handle: RePEc:eee:stapro:v:47:y:2000:i:2:p:171-175

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Related research

Keywords: Dickey-Fuller test Seasonal unit roots Asymptotic distribution;

References

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  1. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
  2. Franses, Philip Hans, 1991. "Moving average filters and unit roots," Economics Letters, Elsevier, vol. 37(4), pages 399-403, December.
  3. Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 62(2), pages 415-442, June.
  4. Denise Osborn & Paulo Rodrigues, 2002. "Asymptotic Distributions Of Seasonal Unit Root Tests: A Unifying Approach," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 221-241.
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Cited by:
  1. Artur C. B. da Silva Lopes, 2004. "Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?," Econometrics 0402007, EconWPA, revised 18 Mar 2004.
  2. Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999. "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers 99s-05, CIRANO.

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