On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance
type: Item
instance of: scholarly article
title: On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance
zbMATH Open document ID: 1110.62117
author: Amit Sen
published in: Statistics \& Probability Letters
publication date: 2007-03-12T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62E20
zbMATH DE Number: 5133030
zbMATH Keywords: unit root
zbMATH Keywords: innovation break
zbMATH Keywords: normalized estimator
zbMATH Keywords: Dickey--Fuller \(F\)-statistics
MaRDI profile type: Publication
full work available at URL: j.spl.2006.05.012
OpenAlex ID: W2002984984
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: Testing for a unit root in the presence of a variance shift
cites work: Unit root tests with a break in innovation variance.
DOI: 10.1016/J.SPL.2006.05.012
description: scientific article; zbMATH DE number 5133030