Finite Sample Effects of Pure Seasonal Mean Shifts on Dickey-Fuller Tests

Finite Sample Effects of Pure Seasonal Mean Shifts on Dickey-Fuller Tests
Author: Artur C.B. da Silva Lopes
Publisher:
Total Pages: 14
Release: 2006
Genre:
ISBN:
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In this paper, it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts - i.e., seasonal structural breaks which affect only the deterministic seasonal cycle - really do matter for Dickey-Fuller long-run unit root tests.


Finite Sample Effects of Pure Seasonal Mean Shifts on Dickey-Fuller Tests
Language: en
Pages: 14

Finite Sample Effects of Pure Seasonal Mean Shifts on Dickey-Fuller Tests

Authors: Artur C.B. da Silva Lopes
Categories:
Type: BOOK - Published: 2006 - Publisher:

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In this paper, it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts - i.e., seasonal structural breaks which affec
Finite Sample Effects of Pure Seasonal Mean Shifts on Dickey-Fuller Tests
Language: en
Pages: 0

Finite Sample Effects of Pure Seasonal Mean Shifts on Dickey-Fuller Tests

Authors: Artur C. B. Da Silva Lopes
Categories:
Type: BOOK - Published: 2008 - Publisher:

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In this paper, it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts i.e. seasonal structural breaks which affect o
Unit Roots, Cointegration, and Structural Change
Language: en
Pages: 528

Unit Roots, Cointegration, and Structural Change

Authors: G. S. Maddala
Categories: Business & Economics
Type: BOOK - Published: 1998 - Publisher: Cambridge University Press

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A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
SAS for Forecasting Time Series, Third Edition
Language: en
Pages: 384

SAS for Forecasting Time Series, Third Edition

Authors: John C. Brocklebank, Ph.D.
Categories: Computers
Type: BOOK - Published: 2018-03-14 - Publisher: SAS Institute

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To use statistical methods and SAS applications to forecast the future values of data taken over time, you need only follow this thoroughly updated classic on t
Time Series Analysis and Its Applications
Language: en
Pages: 568

Time Series Analysis and Its Applications

Authors: Robert H. Shumway
Categories:
Type: BOOK - Published: 2014-01-15 - Publisher:

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