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

Show simple item record Montañes, Antonio Sanso, Andreu 2020-04-22T05:52:50Z
dc.description.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.
dc.format application/pdf
dc.relation.ispartof Annales d'Economie et de Statistique, 2001, vol. 61, p. 73-81
dc.rights , 2001
dc.subject.classification 33 - Economia
dc.subject.other 33 - Economics. Economic science
dc.title The Dickey-Fuller Test Family and Changes in the Seasonal Pattern
dc.type info:eu-repo/semantics/article 2020-04-22T05:52:50Z info:eu-repo/date/embargoEnd/2026-12-31
dc.embargo 2026-12-31
dc.rights.accessRights info:eu-repo/semantics/embargoedAccess

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