Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis
type: Item
instance of: scholarly article
title: Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis
zbMATH Open document ID: 1401.62180
author: Lixiong Yang
author: Chingnun Lee
author: Jen-je Su
published in: Economics Letters
publication date: 2018-09-20T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F05
Mathematics Subject Classification ID: 62M07
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6939481
zbMATH Keywords: structural break
zbMATH Keywords: Fourier approximation
zbMATH Keywords: unit root test
zbMATH Keywords: Perron phenomenon
MaRDI profile type: Publication
full work available at URL: j.econlet.2017.07.016
OpenAlex ID: W2742064939
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cites work: On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form
cites work: Q4840212
cites work: Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
cites work: Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
cites work: The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
DOI: 10.1016/J.ECONLET.2017.07.016
description: scientific article; zbMATH DE number 6939481