Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis
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- D. Ventosa-Santaulària, 2009.
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- 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 Break Normalized estimator Dickey-Fuller F-statistics;Statistics
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