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Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis

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Author Info
STEPHEN J. LEYBOURNE AND PAUL NEWBOLD

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Abstract

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Publisher Info
Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 3 (2000)
Issue (Month): 1 ()
Pages: 1-15
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Handle: RePEc:ect:emjrnl:v:3:y:2000:i:1:p:1-15

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  1. Steven Cook, 2003. "Empirical evidence on the robustness of the weighted symmetric unit root test," Applied Economics Letters, Taylor and Francis Journals, vol. 10(12), pages 761-763, October. [Downloadable!] (restricted)
  2. Steven Cook, 2004. "Detecting changes in persistence in linear time series," Economics Bulletin, Economics Bulletin, vol. 3(24), pages 1-11. [Downloadable!]
  3. Steven Cook, 2005. "Rank-based unit root testing in the presence of structural change under the null: simulation results and an application to US inflation," Applied Economics, Taylor and Francis Journals, vol. 37(6), pages 607-617, April. [Downloadable!] (restricted)
  4. Stephen J. Leybourne & Paul Newbold, 2003. "Spurious rejections by cointegration tests induced by structural breaks," Applied Economics, Taylor and Francis Journals, vol. 35(9), pages 1117-1121, January. [Downloadable!] (restricted)
  5. B. da Silva Lopes, Artur C., 2005. "Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests," MPRA Paper 125, University Library of Munich, Germany, revised May 2006. [Downloadable!]
Statistics
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This page was last updated on 2009-12-24.


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