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

dc.contributor.author	Montañes, Antonio
dc.contributor.author	Sanso, Andreu
dc.date.accessioned	2020-04-22T05:52:50Z
dc.identifier.uri	http://hdl.handle.net/11201/152073
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.isformatof	https://doi.org/10.2307/20076270
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
dc.date.updated	2020-04-22T05:52:50Z
dc.date.embargoEndDate	info:eu-repo/date/embargoEnd/2026-12-31
dc.embargo	2026-12-31
dc.rights.accessRights	info:eu-repo/semantics/embargoedAccess
dc.identifier.doi	https://doi.org/10.2307/20076270