MONTANES, Antonio; SANSO, Andreu - In: Annales d'Economie et de Statistique (2001) 61, pp. 73-90
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...