Fixed and recursive right-tailed Dickey-Fuller tests in the presence of a break under the null

DOI10.1515/JTSE-2013-0004MaRDI QIDQ1695668zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

structural breakunit rootexplosive autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
• Size and power properties of powerful unit root tests in the presence of variance breaks
• When bubbles burst: econometric tests based on structural breaks
• Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null

Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Dating the timeline of financial bubbles during the subprime crisis
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Further evidence on breaking trend functions in macroeconomic variables
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null

Cited in

(1)

• Testing for explosive bubbles: a review

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