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The asymptotic behaviour of the Dickey–Fuller tests under the crash hypothesis

✍ Scribed by Antonio Montañés; Marcelo Reyes

Publisher: Elsevier Science
Year: 1999
Tongue: English
Weight: 93 KB
Volume: 42
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(98)00201-6

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✦ Synopsis

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.

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