Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis

DOI10.1016/J.SPL.2007.09.024MaRDI QIDQ2483432zbMATH OpenOpenAlexFDO

Authors Amit Sen

Publication date 28 April 2008

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

Full work available at URL https://doi.org/10.1016/j.spl.2007.09.024

zbMATH Keywords

breakDickey-Fuller F-statisticsnormalized estimatorunit root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• 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
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Behaviour of Dickey-Fuller \(F\)-tests under the trend-break stationary alternative
• The discontinuous trend unit root test when the break point is misspecified

Cites work

• Behavior of Dickey-Fuller \(t\)-tests when there is a break under the alternative hypothesis
• Behaviour of Dickey-Fuller \(F\)-tests under the trend-break stationary alternative
• 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
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• 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

(13)

• Response surfaces estimates for the Dickey-Fuller unit root test with structural breaks
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Behaviour of Dickey-Fuller \(F\)-tests under the trend-break stationary alternative
• On infimum Dickey-Fuller unit root tests allowing for a trend break under the null
• Fixed and recursive right-tailed Dickey-Fuller tests in the presence of a break under the null
• Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis
• On the end-point issue in unit root tests in the presence of a structural break.
• Behavior of Dickey-Fuller \(t\)-tests when there is a break under the alternative 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
• Behavior of the Size in the Unit Root Testing Under Contamination
• Spurious regression
• On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance

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