Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification

DOI10.1111/j.1467-9892.2004.02000.xzbMath1062.62187OpenAlexW2065727380MaRDI QIDQ4677041

Tae-Hwan Kim, Paul Newbold, Stephen J. Leybourne

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.02000.x

zbMATH Keywords

structural breakDickey-Fuller unit-root teststrend misspecification

Mathematics Subject Classification ID

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

Related Items (5)

Unit root testing ⋮ Spurious regression ⋮ Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification ⋮ A reexamination of stock return predictability ⋮ UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST

Cites Work

• A note on the power of least squares tests for a unit root
• Unit root tests in the presence of uncertainty about the non-stochastic trend
• 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

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