Spurious rejections by Perron tests in the presence of amisplaced or second break under the null

It is known that Dickey-Fuller tests can lead to spurious rejections of the unit root nullhypothesis when the true generating process is difference-stationary with a break.Suppose now that an unsuccessful attempt is made to allow for a break, either throughmisplaced dummy variables or through neglecting a second break...

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Authors:	Kim, Tae-Hwan ; Leybourne, Stephen J. ; Newbold, Paul
Institutions:	University <Nottingham> / Department of Economics
Subject:	Hypothese \| Ablehnung \| spurious rejections \| Macht \| Power \| Dummy \| dummy variables

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Extent:	56320 bytes 12 p. application/pdf
Series:	The University of Nottingham / School of Economics - discussion papers DISCUSSION PAPER ; NO. 99/37
Type of publication:	Book / Working Paper
Language:	English
Classification:	Qualitity management ; Market research ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005869190