On the distribution of Dickey-Fuller unit root statistics when there is a break in the innovation variance

Amit Sen

Statistics & Probability Letters, 2007, vol. 77, issue 1, 63-68

Abstract: We show that Dickey & Fuller's [Distribution of the estimator for autoregressive time series with a unit root. J. Amer. Statist. Assoc. 74, 427-431; Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49, 1057-1072] normalized estimator and F-statistics for the unit root null hypothesis will spuriously reject the null hypothesis if there is a break in the innovation variance relatively early in the sample.

Keywords: Unit; root; Innovation; break; Normalized; estimator; Dickey-Fuller; F-statistics (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (8)

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