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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| Үндсэн зохиолчид: | , , |
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| Формат: | Artigo |
| Хэл сонгох: | Inglês |
| Хэвлэсэн: |
Universidad Pablo de Olavide
2010-01-01
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| Цуврал: | Revista de Métodos Cuantitativos para la Economía y la Empresa |
| Нөхцлүүд: | |
| Онлайн хандалт: | http://www.upo.es/RevMetCuant/art34.pdf |
| Шошгууд: |
Шошго байхгүй, Энэхүү баримтыг шошголох эхний хүн болох!
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