caa a22 4500 46789597X CHVBK 20180406152804.0 cr unu---uuuuu 170328e20060301xx s 000 0 eng 10.1007/s00181-005-0029-2 doi (NATIONALLICENCE)springer-10.1007/s00181-005-0029-2 da Silva Lopes Artur Instituto Superior de Economia e Gestão (ISEG-UTL) and CEMAPRE, Rua do Quelhas 6, Antiga Cantina, 13, 1200-781, Lisboa, Portugal aut Deterministic seasonality in Dickey-Fuller tests: should we care? [Elektronische Daten] [Artur da Silva Lopes] This paper investigates the properties of Dickey-Fuller tests for seasonally unadjusted quarterly data when deterministic seasonality is present but it is neglected in the test regression. While for the random walk case the answer is straightforward, an extensive Monte Carlo study has to be performed for more realistic processes and testing strategies. The most important conclusion is that the common perception that deterministic seasonality has nothing to do with testing for the long-run properties of the data is incorrect. Further numerical evidence on the shortcomings of the general-to-specific t-sig lag selection method is also presented. Springer-Verlag, 2006 Unit root nationallicence Dickey-Fuller tests nationallicence Similar tests nationallicence Seasonality nationallicence Monte Carlo nationallicence Empirical Economics Springer-Verlag 31/1(2006-03-01), 165-182 0377-7332 31:1<165 2006 31 181 https://doi.org/10.1007/s00181-005-0029-2 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00181-005-0029-2 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- da Silva Lopes Artur Instituto Superior de Economia e Gestão (ISEG-UTL) and CEMAPRE, Rua do Quelhas 6, Antiga Cantina, 13, 1200-781, Lisboa, Portugal aut NATIONALLICENCE 773 0- Empirical Economics Springer-Verlag 31/1(2006-03-01), 165-182 0377-7332 31:1<165 2006 31 181 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer