Limiting Behaviour Of Dickey–Fuller F-Tests Under The Crash Model Alternative  

Oleh:

Sen, A.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 6 no. 2 (Dec. 2003), page 421–429.
Topik: Unit root; Trend-break; F-statistic; Crash model
Fulltext: 421.pdf (55.68KB)

Isi artikel

We derive the limiting behaviour of Dickey and Fuller’s (1981) F-statistics when the trend-break alternative is the crash model that allows for a one time shift in the intercept. We show that both F-statistics are consistent against the crash alternative hypothesis. The power of the F-statistics in finite samples is studied and compared to that of the Dickey–Fuller (1979) statistics, namely, the pseudo t-ratio and the normalized estimator.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali