Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis

DOI10.1016/J.ECONLET.2017.07.016MaRDI QIDQ1782409zbMATH OpenOpenAlexFDO

Authors Lixiong Yang, Chingnun Lee, Jen-je Su

Publication date 20 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2017.07.016

zbMATH Keywords

structural breakunit root testFourier approximationPerron phenomenon

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis
• The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• The flexible Fourier form and Dickey-Fuller type unit root tests

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The flexible Fourier form and Dickey-Fuller type unit root tests

Cited in

(4)

• A novel Granger causality method based on HSIC-Lasso for revealing nonlinear relationship between multivariate time series
• The behaviour of Dickey–Fuller and Phillips–Perron testsunder the alternative hypothesis
• High dimensional threshold model with a time-varying threshold based on Fourier approximation
• Tests of Distributional Hypotheses with Nuisance Parameters Using Fourier Series Methods

This page was built for publication: Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1782409)