Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis

DOI10.1016/j.econlet.2017.07.016zbMath1401.62180OpenAlexW2742064939MaRDI QIDQ1782409

Lixiong Yang, Chingnun Lee, Jen-je Su

Publication date: 20 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.07.016

zbMATH Keywords

structural breakunit root testFourier approximationPerron phenomenon

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) Asymptotic properties of parametric tests (62F05)

Related Items (1)

A novel Granger causality method based on HSIC-Lasso for revealing nonlinear relationship between multivariate time series

Cites Work

• Unnamed Item
• On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• The flexible Fourier form and Dickey-Fuller type unit root tests
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis

This page was built for publication: Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis