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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