BEHAVIOR OF DICKEY–FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS
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Publication:2716487
DOI10.1017/S0266466600165077zbMath0967.62068MaRDI QIDQ2716487
Stephen J. Leybourne, Paul Newbold
Publication date: 2 September 2001
Published in: Econometric Theory (Search for Journal in Brave)
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F05: Asymptotic properties of parametric tests
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