Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests
AbstractIn 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 125.
Date of creation: 15 Oct 2005
Date of revision: May 2006
unit roots; seasonality; Dickey-Fuller tests; structural breaks;
Find related papers by JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-14 (All new papers)
- NEP-ECM-2006-10-14 (Econometrics)
- NEP-ETS-2006-10-14 (Econometric Time Series)
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