Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative
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Publication:4458367
DOI10.1111/1368-423X.t01-1-00117zbMath1034.62088OpenAlexW1981901965MaRDI QIDQ4458367
Publication date: 17 March 2004
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00117
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Related Items (2)
\(D\)-brane dynamics and creations of open and closed strings after recombination ⋮ Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis
Cites Work
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- Testing for a unit root in time series regression
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- JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
- Time Series Regression with a Unit Root
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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