IDEAS home Printed from https://ideas.repec.org/a/ect/emjrnl/v6y2003i2p421-429.html
   My bibliography  Save this article

Limiting behaviour of Dickey-Fuller t-tests under the crash model alternative

Author

Abstract

We derive the limiting behaviour of Dickey-Fuller's (1981) F-statistics when the trend-break alternative is the crash model that allows for a one time shift in the intercept. We show that both F-statistics are consistent against the crash alternative hypothesis. The power of the F-statistics in finite samples is studied and compared to that of the Dickey-Fuller (1979) statistics, namely, the pseudo-t ratio and the normalized estimator. Copyright Royal Economic Society, 2003

Suggested Citation

  • A. Sen, 2003. "Limiting behaviour of Dickey-Fuller t-tests under the crash model alternative," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 421-429, December.
    • Handle: RePEc:ect:emjrnl:v:6:y:2003:i:2:p:421-429
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Narayan, Paresh Kumar & Liu, Ruipeng & Westerlund, Joakim, 2016. "A GARCH model for testing market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 121-138.
    2. Fernando Andrés Delblanco & Andrés Fioriti, 2012. "Volatility of the Capital Flows and Structural Breaks in Latin America and the Caribbean," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 0, pages 23-51, January-D.
    3. Ijaz Rehman & Muhammad Shahbaz, 2014. "Multivariate-based Granger causality between financial deepening and poverty: the case of Pakistan," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(6), pages 3221-3241, November.
    4. Shahbaz, Muhammad & Tahir, Mohammad Iqbal & Ali, Imran & Rehman, Ijaz Ur, 2014. "Is gold investment a hedge against inflation in Pakistan? A co-integration and causality analysis in the presence of structural breaks," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 190-205.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ect:emjrnl:v:6:y:2003:i:2:p:421-429. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/resssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.