The lack of suitable critical values for the Dickey-Fuller integrability test in finite-samples can drive researchers to spurious conclusions when using asymptotic critical values. In this paper we estimate response surfaces for the Dickey-Fuller unit root test with structural breaks that allow to obtain aproximate critical values for whatever sample size and break date. The models that we have taken into account are those of Perron (1989), that assume the time break to be exogenous so that the integrability analysis is conditional on that date.
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Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number
25.
Length: 0 pages Date of creation: 1998 Date of revision: Handle: RePEc:bar:bedcje:199825
Contact details of provider: Postal: Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain. Web page: http://www.ere.ub.es More information through EDIRC
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Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing