Showing 1 - 10 of 22
Persistent link: https://www.econbiz.de/10005478771
Persistent link: https://www.econbiz.de/10005478810
Persistent link: https://www.econbiz.de/10005474661
Persistent link: https://www.econbiz.de/10005035739
We derive the limiting behaviour of Dickey-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...
Persistent link: https://www.econbiz.de/10005100079
Persistent link: https://www.econbiz.de/10005660561
Persistent link: https://www.econbiz.de/10005660564
Persistent link: https://www.econbiz.de/10005660566
Persistent link: https://www.econbiz.de/10005660568
Persistent link: https://www.econbiz.de/10005776133