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Behaviour of Dickey-Fuller F-tests under the trend-break stationary alternative

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  • Sen, Amit

Abstract

We examine the asymptotic behaviour of Dickey and Fuller's (Econometrica 49 (1981) 1057) F-statistics under two different characterizations of the trend-break stationary alternative. While both F-statistics reject the unit root null when the break occurs according to the changing growth model, they may fail to reject the unit root null when the mixed model characterizes the alternative.

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  • Sen, Amit, 2001. "Behaviour of Dickey-Fuller F-tests under the trend-break stationary alternative," Statistics & Probability Letters, Elsevier, vol. 55(3), pages 257-268, December.
    • Handle: RePEc:eee:stapro:v:55:y:2001:i:3:p:257-268
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    1. Alastair Hall, 1992. "Joint Hypothesis Tests For A Random Walk Based On Instrumental Variable Estimators," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(1), pages 29-45, January.
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    2. Ventosa-Santaulária, Daniel & Gómez-Zaldívar, Manuel, 2009. "Broken mean stationarity and the validity of the Dickey-Fuller test: the case of controlled inflation," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.

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    Keywords

    Unit root Trend-break F-statistic;

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