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 the null h...
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| 主要な著者: | , , |
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| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
Universidad Pablo de Olavide
2010-01-01
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| シリーズ: | Revista de Métodos Cuantitativos para la Economía y la Empresa |
| 主題: | |
| オンライン･アクセス: | http://www.upo.es/RevMetCuant/art34.pdf |
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