Finite Sample Effects Of Pure Seasonal Mean Shifts On Dickey Fuller Tests
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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.
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