Cavaliere, Giuseppe; Georgiev, Iliyan - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2006
The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root tests for autoregressive processes with a unit or near-unit root are discussed in the presence of multiple stochastic level shifts of large size occurring independently in time. The distributions depend on a Brownian motion...