Spurious Rejections by Dickey-Fuller Tests in the Presence of an Endogenously Determined Break under the Null // Rechazos espurios de los test de Dickey-Fuller en presencia de una ruptura bajo la hipótesis nula endógenamente determinada

Spurious Rejections by Dickey-Fuller Tests in the Presence of an Endogenously Determined Break under the Null // Rechazos espurios de los test de Dickey-Fuller en presencia de una ruptura bajo la hipótesis nula endógenamente determinada

Leybourne et al. (1998) have proved the possibility of a "converse Perron phenomenon" when conventional Dickey-Fuller tests are applied to determine the order of integration of a time series. That is, if the true generating process is I(1) but with a break, frequent spurious rejections of...

Full description

Bibliographic Details
Main Authors: Belaire Franch, Jorge, Badillo Amador, Rosa, Reverte Maya, Carmelo
Format: Article
Language:English
Published: Pablo de Olavide University 2010-01-01
Series:Revista de Métodos Cuantitativos para la Economía y la Empresa
Subjects:
unit roots
structural breaks
Dickey-Fuller tests
raíces unitarias
cambios estructurales
test Dickey-Fuller
Online Access:http://www.upo.es/RevMetCuant/art34.pdf

Similar Items

Similar Items