Behaviour of Dickey-Fuller F-tests under the trend-break stationary alternative
We examine the asymptotic behaviour of Dickey and Fuller's (Econometrica 49 (1981) 1057) F-statistics under two different characterizations of the trend-break stationary alternative. While both F-statistics reject the unit root null when the break occurs according to the changing growth model, they may fail to reject the unit root null when the mixed model characterizes the alternative.
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Volume (Year): 55 (2001)
Issue (Month): 3 (December)
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