Limiting behaviour of Dickey-Fuller t-tests under the crash model alternative

Amartya Sen

Econometrics Journal, 2003, vol. 6, issue 2, pages 421-429

Abstract: 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 finite samples is studied and compared to that of the Dickey-Fuller (1979) statistics, namely, the pseudo-t ratio and the normalized estimator. Copyright Royal Economic Society, 2003

Date: 2003

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