Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment. (Q1871315): Difference between revisions

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+Estimating and Testing Linear Models with Multiple Structural Changes
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+Testing For and Dating Common Breaks in Multivariate Time Series
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+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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+Q4884570
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+Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
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+The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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+The Bias of Autoregressive Coefficient Estimators
@@ Property / cites work: The Bias of Autoregressive Coefficient Estimators / rank @@
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+recursive Mean Adjustment for Unit Root Tests
@@ Property / cites work: recursive Mean Adjustment for Unit Root Tests / rank @@
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+Q3696348
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+https://doi.org/10.1016/s0167-7152(02)00280-8
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+W2044189726
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