dc.contributor.author |
Montañes, Antonio
|
|
dc.contributor.author |
Sanso, Andreu
|
|
dc.date.accessioned |
2020-04-22T05:52:50Z |
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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. |
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dc.format |
application/pdf |
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dc.relation.isformatof |
https://doi.org/10.2307/20076270 |
|
dc.relation.ispartof |
Annales d'Economie et de Statistique, 2001, vol. 61, p. 73-81 |
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dc.rights |
, 2001 |
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dc.subject.classification |
33 - Economia |
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dc.subject.other |
33 - Economics. Economic science |
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dc.title |
The Dickey-Fuller Test Family and Changes in the Seasonal Pattern |
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dc.type |
info:eu-repo/semantics/article |
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dc.date.updated |
2020-04-22T05:52:50Z |
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dc.date.embargoEndDate |
info:eu-repo/date/embargoEnd/2026-12-31 |
|
dc.embargo |
2026-12-31 |
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dc.rights.accessRights |
info:eu-repo/semantics/embargoedAccess |
|
dc.identifier.doi |
https://doi.org/10.2307/20076270 |
|