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

DOI10.1111/1368-423X.T01-1-00117MaRDI QIDQ4458367zbMATH OpenOpenAlexFDO

Authors Amit Sen

Publication date 17 March 2004

Published in 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)

Recommendations

• The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
• Behaviour of Dickey-Fuller \(F\)-tests under the trend-break stationary alternative
• A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations
• On the properties of the Dickey-Pantula test against fractional alternatives
• The behaviour of Dickey–Fuller and Phillips–Perron testsunder the alternative hypothesis
• A finite-sample sensitivity analysis of the Dickey–Fuller test under local-to-unity detrending
• Alternative Asymptotically Optimal Tests and Their Application to Dynamic Specification
• Behavior of Dickey-Fuller \(t\)-tests when there is a break under the alternative hypothesis

Cites work

• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• 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
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Testing for a unit root in time series regression
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
• Time Series Regression with a Unit Root

Cited in

(4)

• D-brane dynamics and creations of open and closed strings after recombination
• Behaviour of Dickey-Fuller \(F\)-tests under the trend-break stationary alternative
• The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
• Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis

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