A note on the application of the DF test to seasonal data

Statistics and Probability Letters

Volumn 47, Issue 2, 2000, Pages 171-175

  Rodrigues, Paulo M M ^a  

^a UNIVERSITY OF ALGARVE   (Portugal)

Author keywords

Asymptotic distribution; Dickey Fuller test; Seasonal unit roots

Indexed keywords

EID: 0043281066     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0167-7152(99)00154-6     Document Type: Article

References (6)

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2. Franses P.H. Moving average filters and unit roots. Econom. Lett. 37:1991;399-403.
3. Ghysels E., Lee H.S., Noh J. Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation. J. Econom. 62:1994;415-442.
4. Hylleberg S., Engle R.F., Granger C.W.J., Yoo B.S. Seasonal integration and cointegration. J. Econom. 44:1990;215-238.
5. Osborn, D.R., Rodrigues, P.M.M., 1998. The asymptotic distributions of seasonal unit root tests: a unifying approach. University of Manchester, School of Economic Studies Discussion Paper Series No. 9811.
6. Rodrigues, P.M.M., Osborn, D.R., 1997. Evidence on testing for unit roots in seasonal time series. University of Manchester, School of Economic Studies Discussion Paper Series No. 9728.