BEHAVIOR OF DICKEY–FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS
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Publication:2716487
DOI10.1017/S0266466600165077zbMath0967.62068OpenAlexW2053341286MaRDI QIDQ2716487
Stephen J. Leybourne, Paul Newbold
Publication date: 2 September 2001
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466600165077
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)
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