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On the performance of the DHF tests against nonstationary alternatives

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Author Info
del Barrio Castro, Tomas

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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.

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

Volume (Year): 76 (2006)
Issue (Month): 3 (February)
Pages: 291-297
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Handle: RePEc:eee:stapro:v:76:y:2006:i:3:p:291-297

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Related research
Keywords: Seasonality Vector of quarters Unit root tests DHF test;

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