Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests
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More about this item
Keywordsunit roots; seasonality; Dickey-Fuller tests; structural breaks;
- 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; Diffusion Processes
NEP fieldsThis 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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