Behaviour of Dickey-Fuller \(F\)-tests under the trend-break stationary alternative

DOI10.1016/S0167-7152(01)00146-8zbMath0994.62091OpenAlexW2039387074MaRDI QIDQ1612931

Amit Sen

Publication date: 5 September 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(01)00146-8

zbMATH Keywords

unit rooteconomic time seriesF-statisticstrend-break

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items

Spurious regression, Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis, Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative

Cites Work

• The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
• BEHAVIOR OF DICKEY–FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis