Title:

Finite Sample Effects of Pure Seasonal Mean Shifts on Dickey-Fuller Tests: A Simulation Study

Author:

Artur Silva Lopes (UTL, CEMAPRE - ISEG, UTL)

Journal:

Manchester School

Year:

2008

Volume:

76

Pages:

528-538

JEL codes:

C51 - Model Construction and Estimation
E32 - Business Fluctuations; Cycles