Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative

DOI10.1111/1368-423X.t01-1-00117zbMath1034.62088OpenAlexW1981901965MaRDI QIDQ4458367

Amit Sen

Publication date: 17 March 2004

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00117

zbMATH Keywords

time seriesunit root\(F\)-statistictrend-breakcrash model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (2)

\(D\)-brane dynamics and creations of open and closed strings after recombination ⋮ Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis

Cites Work

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• 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
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
• Time Series Regression with a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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