On the distribution of Dickey-Fuller unit root statistics when there is a break in the innovation variance
We show that Dickey & Fuller's [Distribution of the estimator for autoregressive time series with a unit root. J. Amer. Statist. Assoc. 74, 427-431; Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49, 1057-1072] normalized estimator and F-statistics for the unit root null hypothesis will spuriously reject the null hypothesis if there is a break in the innovation variance relatively early in the sample.
Volume (Year): 77 (2007)
Issue (Month): 1 (January)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Hamori, Shigeyuki & Tokihisa, Akira, 1997. "Testing for a unit root in the presence of a variance shift1," Economics Letters, Elsevier, vol. 57(3), pages 245-253, December.
- Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul, 2002. "Unit root tests with a break in innovation variance," Journal of Econometrics, Elsevier, vol. 109(2), pages 365-387, August.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:77:y:2007:i:1:p:63-68. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.