Fixed and recursive right-tailed Dickey-Fuller tests in the presence of a break under the null
DOI10.1515/JTSE-2013-0004zbMATH Open1499.62292OpenAlexW2337910541MaRDI QIDQ1695668FDOQ1695668
Authors: Robert Sollis 
Publication date: 7 February 2018
Published in: Journal of Time Series Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jtse-2013-0004
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
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- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
- Further evidence on breaking trend functions in macroeconomic variables
- Dating the timeline of financial bubbles during the subprime crisis
- Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
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