Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis
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Publication:2483432
DOI10.1016/j.spl.2007.09.024zbMath1489.62287OpenAlexW2004517320MaRDI QIDQ2483432
Publication date: 28 April 2008
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2007.09.024
Related Items (2)
Cites Work
- Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
- Behaviour of Dickey-Fuller \(F\)-tests under the trend-break stationary alternative
- The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
- BEHAVIOR OF DICKEY–FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
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