On infimum Dickey-Fuller unit root tests allowing for a trend break under the null

DOI10.1016/j.csda.2012.10.017zbMath1506.62077OpenAlexW1995630403MaRDI QIDQ1623643

David I. Harvey, A. M. Robert Taylor, Stephen J. Leybourne

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2012.10.017

zbMATH Keywords

unit root testtrend breakminimum Dickey-Fuller test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items

A simple unit root testing methodology that does not require knowledge regarding the presence of a break ⋮ On trend breaks and initial condition in unit root testing

Cites Work

• Structural breaks with deterministic and stochastic trends
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Further evidence on breaking trend functions in macroeconomic variables
• A joint test for structural stability and a unit root in autoregressions
• Localized level crossing random walk test robust to the presence of structural breaks
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis