Behaviour of Dickey-Fuller \(F\)-tests under the trend-break stationary alternative
type: Item
instance of: scholarly article
title: Behaviour of Dickey-Fuller \(F\)-tests under the trend-break stationary alternative
zbMATH Open document ID: 0994.62091
DOI: 10.1016/S0167-7152(01)00146-8
author: Amit Sen
published in: Statistics \& Probability Letters
publication date: 2002-09-05T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F03
Mathematics Subject Classification ID: 62E20
zbMATH DE Number: 1796628
zbMATH Keywords: unit root
zbMATH Keywords: trend-break
zbMATH Keywords: economic time series
zbMATH Keywords: F-statistics
MaRDI profile type: Publication
cites work: Distribution of the Estimators for Autoregressive Time Series With a Unit Root
cites work: Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
cites work: JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
cites work: Behavior of Dickey-Fuller \(t\)-tests when there is a break under the alternative hypothesis
cites work: The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
cites work: The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
cites work: Testing for a unit root in time series regression
full work available at URL: s0167-7152(01)00146-8
OpenAlex ID: W2039387074
description: scientific article; zbMATH DE number 1796628