On the performance of the DHF tests against nonstationary alternatives
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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Volume (Year): 76 (2006)
Issue (Month): 3 (February)
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References listed on IDEAS
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