Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative (Q4458367)
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scientific article; zbMATH DE number 2060131
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| English | Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative |
scientific article; zbMATH DE number 2060131 |
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Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative (English)
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17 March 2004
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unit root
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trend-break
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\(F\)-statistic
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crash model
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time series
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0.9112952
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0.8380725
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0.8259177
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0.8234244
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0.8201993
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0.8193966
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0.8180497
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