Fixed and recursive right-tailed Dickey-Fuller tests in the presence of a break under the null

DOI10.1515/jtse-2013-0004zbMath1499.62292OpenAlexW2337910541MaRDI QIDQ1695668

Robert Sollis

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2013-0004

zbMATH Keywords

unit rootstructural breakexplosive autoregression

Mathematics Subject Classification ID

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

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Cites Work

• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Further evidence on breaking trend functions in macroeconomic variables
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Dating the timeline of financial bubbles during the subprime crisis
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
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