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The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis

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Author Info
Montañés, Antonio
Reyes, Marcelo

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Abstract

This paper considers the behaviour of the Dickey-Fuller tests when the variable being studied is generated according to Perron's (1989) crash hypothesis. We show that these statistics tend towards the Dickey-Fuller distributions under the null hypothesis and diverge towards -[infinity] under the alternative.

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File URL: http://www.sciencedirect.com/science/article/B6V1D-3W38315-C/2/110c650ed35c4897a7846ca75f8e53f8
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Publisher Info
Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 42 (1999)
Issue (Month): 1 (March)
Pages: 81-89
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Handle: RePEc:eee:stapro:v:42:y:1999:i:1:p:81-89

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Related research
Keywords: Unit root Crash hypothesis Wiener processes;

Cited by:
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  1. Amit Sen, 2007. "On the Distribution of the Break-Date Estimator Implied by the Perron-Type Statistics When the Form of Break is Misspecified," Economics Bulletin, Economics Bulletin, vol. 3(6), pages 1-19. [Downloadable!]
  2. Artur C. B. da Silva Lopes & Antonio Montañés, 2004. "The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts," Econometrics 0411010, EconWPA. [Downloadable!]
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