The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
type: Item
instance of: scholarly article
title: The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
zbMATH Open document ID: 1087.62511
DOI: 10.1016/S0167-7152(98)00201-6
author: Marcelo Bussotti Reyes
author: Antonio Montañés
published in: Statistics \& Probability Letters
publication date: 1999-01-01T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 1395110
MaRDI profile type: Publication
cites work: Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
cites work: Distribution of the Estimators for Autoregressive Time Series With a Unit Root
cites work: Q4124141
cites work: Estimation of the parameters of stochastic difference equations
cites work: The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
full work available at URL: s0167-7152(98)00201-6
OpenAlex ID: W2090177502
description: scientific article; zbMATH DE number 1395110