This paper has been announced in the following NEP Reports:

• NEP-ALL-2004-11-22 (All new papers)
• NEP-ECM-2004-11-22 (Econometrics)
• NEP-ETS-2004-11-22 (Econometric Time Series)

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    • Franses, Philip Hans & Hoek, Henk & Paap, Richard, 1995. "Baysian analysis of seasonal unit roots and seasonal mean shifts," Econometric Institute Report 57, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    • Franses, Ph.H.B.F. & Hoek, H. & Paap, R., 1995. "Bayesian Analysis of Seasonal Unit Roots and Seasonal Mean Shifts," Econometric Institute Report EI 9527-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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12. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-20, July.
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13. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-62, April.
    Other versions:
    • Perron, P., 1989. "Testing For A Unit Root In A Time Series With A Changing Mean," Papers 347, Princeton, Department of Economics - Econometric Research Program.
14. Hylleberg, Svend & Jorgensen, Clara & Sorensen, Nils Karl, 1993. "Seasonality in Macroeconomic Time Series," Empirical Economics, Springer, vol. 18(2), pages 321-35.
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    • Perron, P., 1990. "Further Evidence On Breaking Trend Functions In Macroeconomics Variables," Papers 350, Princeton, Department of Economics - Econometric Research Program.
    • Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche 9421, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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16. 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. [Downloadable!] (restricted)
17. Osborn, Denise R., 1990. "A survey of seasonality in UK macroeconomic variables," International Journal of Forecasting, Elsevier, vol. 6(3), pages 327-336, October. [Downloadable!] (restricted)
18. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-52, July.
19. Burridge, Peter & Taylor, A M Robert, 2001. "On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 374-79, July.
20. Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993. "The Japanese consumption function," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 275-298. [Downloadable!] (restricted)
21. Smith, Jeremy & Otero, Jesus, 1997. "Structural breaks and seasonal integration," Economics Letters, Elsevier, vol. 56(1), pages 13-19, September. [Downloadable!] (restricted)
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    • Smith, J. & Otero, J., 1995. "Structural Breaks and Seasonal Integration," The Warwick Economics Research Paper Series (TWERPS) 435, University of Warwick, Department of Economics.
22. Clemente, Jesus & Montanes, Antonio & Reyes, Marcelo, 1998. "Testing for a unit root in variables with a double change in the mean," Economics Letters, Elsevier, vol. 59(2), pages 175-182, May. [Downloadable!] (restricted)
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24. Montañés, Antonio & Reyes, Marcelo, 1999. "The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis," Statistics & Probability Letters, Elsevier, vol. 42(1), pages 81-89, March. [Downloadable!] (restricted)
25. Smith, Richard J. & Taylor, A. M. Robert, 1998. "Additional critical values and asymptotic representations for seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 85(2), pages 269-288, August. [Downloadable!] (restricted)
    Other versions:
    • Smith, R.J. & Taylor, R., 1995. "Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests," Cambridge Working Papers in Economics 9529, Faculty of Economics, University of Cambridge.
    • Richard Smith & Robert Taylor, . "Additional Critical Values and Asymptotic Representations for Seasonal Unit Root Tests," Discussion Papers 95/43, Department of Economics, University of York.

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1. B. da Silva Lopes, Artur C., 2005. "Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests," MPRA Paper 125, University Library of Munich, Germany, revised May 2006. [Downloadable!]