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

DOI10.1016/j.spl.2007.09.024zbMath1489.62287MaRDI QIDQ2483432

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

unit root; break; normalized estimator; Dickey-Fuller F-statistics

Mathematics Subject Classification ID

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

Related Items

Behavior of the Size in the Unit Root Testing Under Contamination, Spurious regression

Cites Work

• 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
• The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
• 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
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis