Critical values of the augmented fractional Dickey–Fuller test
✍ Scribed by Peter S. Sephton
- Publisher
- Springer-Verlag
- Year
- 2008
- Tongue
- English
- Weight
- 374 KB
- Volume
- 35
- Category
- Article
- ISSN
- 0377-7332
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📜 SIMILAR VOLUMES
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.
## Abstract The use of the standard normal homogeneity test (SNHT) for homogenization of climatological records and studying changes in their patterns has increased in recent years. The critical values of this test were originally developed for sample sizes ranging from 10 to 250 using relatively s