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
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+recursive Mean Adjustment for Unit Root Tests
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+Q3696348
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