Behaviour of Dickey-Fuller F-tests under the trend-break stationary alternative

DOI10.1016/S0167-7152(01)00146-8MaRDI QIDQ1612931zbMATH OpenOpenAlexFDO

Authors Amit Sen

Publication date 5 September 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(01)00146-8

zbMATH Keywords

economic time seriesF-statisticstrend-breakunit root

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Behavior of Dickey-Fuller \(t\)-tests when there is a break under the alternative hypothesis
• Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative
• Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis
• Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis

Cites work

• Behavior of Dickey-Fuller \(t\)-tests when there is a break under the alternative hypothesis
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Testing for a unit root in time series regression
• The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(9)

• Mirror image distributions and the Dickey-Fuller regression with a maintained trend
• The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
• Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis
• On the performance of the DHF tests against nonstationary alternatives
• Behavior of Dickey-Fuller \(t\)-tests when there is a break under the alternative hypothesis
• Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative
• Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification
• The behaviour of Dickey–Fuller and Phillips–Perron testsunder the alternative hypothesis
• Spurious regression

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