Behaviour of Dickey-Fuller F-tests under the trend-break stationary alternative
AbstractWe examine the asymptotic behaviour of Dickey and Fuller's (Econometrica 49 (1981) 1057) F-statistics under two different characterizations of the trend-break stationary alternative. While both F-statistics reject the unit root null when the break occurs according to the changing growth model, they may fail to reject the unit root null when the mixed model characterizes the alternative.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 55 (2001)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Montañés, Antonio & Reyes, Marcelo, 1999. "The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis," Statistics & Probability Letters, Elsevier, vol. 42(1), pages 81-89, March.
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