Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis
We show that Dickey and Fuller's [1979. Distribution of the estimator for autoregressive time series with a unit root. J. Amer. Statist. Assoc. 74, 427-431; 1981. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49, 1057-1072.] normalized estimator, and F-statistics will spuriously reject the unit root null when the true data generating process is a unit root with a break.
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Volume (Year): 78 (2008)
Issue (Month): 6 (April)
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References listed on IDEAS
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- Perron, P, 1988.
"The Great Crash, The Oil Price Shock And The Unit Root Hypothesis,"
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- 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.
- Stephen J. Leybourne And Paul Newbold, 2000. "Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 1-15.
- Montañés, Antonio & Reyes, Marcelo, 1999. "The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis," Statistics & Probability Letters, Elsevier, vol. 42(1), pages 81-89, March.
- Leybourne, Stephen J. & Newbold, Paul, 2000. "BEHAVIOR OF DICKEY FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS," Econometric Theory, Cambridge University Press, vol. 16(05), pages 779-789, October.
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