The Dickey-Fuller Test Family and Changes in the Seasonal Pattern

Abstract

[eng] This paper studies the asymptotic behaviour of the Dickey-Fuller family of tests when the variable being considered exhibits a break in the seasonal pattern. We show that the Dickey-Fuller test tends to reject the unit root null hypothesis, except when the break affects all the periods in a similar manner. By contrast, the Dickey-Hasza-Fuller test is biased towards the acceptance of its null hypothesis, the larger the break magnitudes.