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Spurious rejections by Dickey-Fuller tests in the presence of a break under the null

  • Leybourne, Stephen J.
  • C. Mills, Terence
  • Newbold, Paul
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-3VNPWD0-8/2/a72a691a6124e1e445d980f97ae8fdb6
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 87 (1998)
    Issue (Month): 1 (August)
    Pages: 191-203

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    Handle: RePEc:eee:econom:v:87:y:1998:i:1:p:191-203
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    1. Julia Campos & Neil R. Ericsson & David F. Hendry, 1993. "Cointegration tests in the presence of structural breaks," International Finance Discussion Papers 440, Board of Governors of the Federal Reserve System (U.S.).
    2. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    3. Leybourne, S J, 1995. "Testing for Unit Roots Using Forward and Reverse Dickey-Fuller Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(4), pages 559-71, November.
    4. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-20, July.
    5. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
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