Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests
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.
|Date of creation:||15 Oct 2005|
|Date of revision:||May 2006|
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