Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis

DOI10.1111/1368-423X.00036zbMath0965.62074MaRDI QIDQ4762169

Stephen J. Leybourne, Paul Newbold

Publication date: 31 July 2001

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

unit root tests; structural breaks; weighted symmetric estimator; spurious stationarity

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62F03: Parametric hypothesis testing

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