Response surfaces estimates for the Dickey-Fuller unit root test with structural breaks

DOI10.1016/S0165-1765(99)00044-0MaRDI QIDQ1292336zbMATH OpenWikidataFDO

Authors Josep Lluís Carrion-I-Silvestre, Andreu Sansó i Rosselló, Manuel Artís Ortuño

Publication date 21 June 1999

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

unit root testresponse surfacessegmented trends

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Response surface estimates of the LM unit root tests
• Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance

Cites work

• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(8)

• Testing for stationarity with covariates: more powerful tests with non-normal errors
• Approximate p-values of certain tests involving hypotheses about multiple breaks
• Response surface estimates of the LM unit root tests
• New innovational outlier unit root test with a break at an unknown time
• Sample size, lag order and critical values of seasonal unit root tests
• Response surface models for the Leybourne unit root tests and lag order dependence
• P-Values for non-standard distributions with an application to the DF test
• Selection of the break in the Perron-type tests

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