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Limiting behaviour of Dickey–Fuller -tests under the crash model alternative

✍ Scribed by A. Sen

Book ID
108513100
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
56 KB
Volume
6
Category
Article
ISSN
1368-4221

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The asymptotic behaviour of the Dickey–F
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.