The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.

DOI10.1016/S0167-7152(98)00201-6zbMath1087.62511OpenAlexW2090177502MaRDI QIDQ1962152

Marcelo Bussotti Reyes, Antonio Montanés

Publication date: 1999

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

Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00201-6

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (9)

Behaviour of Dickey-Fuller \(F\)-tests under the trend-break stationary alternative ⋮ On the asymptotic behaviour of unit-root tests in the presence of a Markov trend ⋮ Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses ⋮ Spurious regression ⋮ Nonsense regressions due to neglected time-varying means ⋮ Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis ⋮ THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS ⋮ Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative ⋮ Structural breaks, unit roots and methods for removing the autocorrelation pattern

Cites Work

• Estimation of the parameters of stochastic difference equations
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unnamed Item

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