On the distribution of Dickey-Fuller unit root statistics when there is a break in the innovation variance
AbstractWe show that Dickey & Fuller's [Distribution of the estimator for autoregressive time series with a unit root. J. Amer. Statist. Assoc. 74, 427-431; Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49, 1057-1072] normalized estimator and F-statistics for the unit root null hypothesis will spuriously reject the null hypothesis if there is a break in the innovation variance relatively early in the sample.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 77 (2007)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul, 2002. "Unit root tests with a break in innovation variance," Journal of Econometrics, Elsevier, vol. 109(2), pages 365-387, August.
- Hamori, Shigeyuki & Tokihisa, Akira, 1997. "Testing for a unit root in the presence of a variance shift1," Economics Letters, Elsevier, vol. 57(3), pages 245-253, December.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Hanck, Christoph, 2008. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," MPRA Paper 11988, University Library of Munich, Germany.
- Czudaj, Robert & Hanck, Christoph, 2013.
"Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation,"
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79734, Verein für Socialpolitik / German Economic Association.
- Christoph Hanck & Robert Czudaj, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," Ruhr Economic Papers 0434, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
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