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Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests

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  • B. da Silva Lopes, Artur C.

Abstract

In this paper it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts - i.e., seasonal structural breaks which affect only the deterministic seasonal cycle - really do matter for Dickey-Fuller long-run unit root tests.

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File URL: http://mpra.ub.uni-muenchen.de/125/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 125.

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Date of creation: 15 Oct 2005
Date of revision: May 2006
Handle: RePEc:pra:mprapa:125

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Keywords: unit roots; seasonality; Dickey-Fuller tests; structural breaks;

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References

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  1. Philip Hans Franses & Timothy J. Vogelsang, 1998. "On Seasonal Cycles, Unit Roots, And Mean Shifts," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 231-240, May.
  2. Artur C. B. da Silva Lopes & Antonio Montañés, 2004. "The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts," Econometrics, EconWPA 0411010, EconWPA.
  3. Perron, P., 1987. "The Great Crash, the Oil Prices and the Unit Root Hypothesis," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 8749, Universite de Montreal, Departement de sciences economiques.
  4. Schwert, G William, 1989. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 7(2), pages 147-59, April.
  5. Artur C. B. da Silva Lopes, 2004. "Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?," Econometrics, EconWPA 0402007, EconWPA, revised 18 Mar 2004.
  6. Leybourne, Stephen J. & C. Mills, Terence & Newbold, Paul, 1998. "Spurious rejections by Dickey-Fuller tests in the presence of a break under the null," Journal of Econometrics, Elsevier, Elsevier, vol. 87(1), pages 191-203, August.
  7. Harvey, David I. & Leybourne, Stephen J. & Newbold, Paul, 2002. "Seasonal unit root tests with seasonal mean shifts," Economics Letters, Elsevier, Elsevier, vol. 76(2), pages 295-302, July.
  8. Pierre Perron & Gabriel RodrÌguez, 2003. "Searching For Additive Outliers In Nonstationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 193-220, 03.
  9. Charles Nelson & Eric Zivot & Jeremy M. Piger, 2001. "Markov regime switching and unit root tests," Working Papers, Federal Reserve Bank of St. Louis 2001-013, Federal Reserve Bank of St. Louis.
  10. Taylor, A M Robert, 2000. " The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(2), pages 293-304, May.
  11. Uwe Hassler & Paulo M. M. Rodrigues, 2004. "Seasonal Unit Root Tests Under Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 33-53, 01.
  12. Smith, Jeremy & Otero, Jesus, 1997. "Structural breaks and seasonal integration," Economics Letters, Elsevier, Elsevier, vol. 56(1), pages 13-19, September.
  13. 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, Elsevier, vol. 62(2), pages 415-442, June.
  14. Balcombe, Kelvin, 1999. " Seasonal Unit Root Tests with Structural Breaks in Deterministic Seasonality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 569-82, November.
  15. da Silva Lopes, Artur C. B., 2001. "The robustness of tests for seasonal differencing to structural breaks," Economics Letters, Elsevier, Elsevier, vol. 71(2), pages 173-179, May.
  16. Stephen J. Leybourne And Paul Newbold, 2000. "Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 3(1), pages 1-15.
  17. Franses, Philip Hans & Haldrup, Niels, 1994. "The Effects of Additive Outliers on Tests for Unit Roots and Cointegration," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(4), pages 471-78, October.
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