On the end-point issue in unit root tests in the presence of a structural break. (Q1978720)
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scientific article; zbMATH DE number 1454453
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| English | On the end-point issue in unit root tests in the presence of a structural break. |
scientific article; zbMATH DE number 1454453 |
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On the end-point issue in unit root tests in the presence of a structural break. (English)
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4 June 2000
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This paper shows that the spurious rejection problem illustrated by \textit{S. J. Leybourne} et al. [J. Econom. 87, 191--203 (1998; Zbl 0944.62083)] is restricted to a Dickey-Fuller type test, which is based on the conditional likelihood function discarding the first observation.
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End point
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Unit root test
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Structural break
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0.8324868679046631
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0.8296167254447937
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0.8179903030395508
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0.7922720313072205
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0.7909441590309143
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