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Behaviour of Dickey–Fuller F-tests under the trend-break stationary alternative

✍ Scribed by Amit Sen

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
183 KB
Volume
55
Category
Article
ISSN
0167-7152

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The asymptotic behaviour of the Dickey–Fuller tests under the crash hypothesis
✍ Antonio Montañés; Marcelo Reyes 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 93 KB

This paper considers the behaviour of the Dickey-Fuller tests when the variable being studied is generated according to Perron's (1989) crash hypothesis. We show that these statistics tend towards the Dickey-Fuller distributions under the null hypothesis and diverge towards -∞ under the alternative.