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

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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

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  • 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
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    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.
    5. Shahbaz, Muhammad & Tahir, Mohammad Iqbal & Ali, Imran, 2013. "Is Gold Investment A Hedge against Inflation in Pakistan? A Cointegtaion and Causality Analysis in the Presence of Structural Breaks," MPRA Paper 47924, University Library of Munich, Germany, revised 01 Jul 2013.

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