The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis

Antonio Montañés and Marcelo Reyes

Statistics & Probability Letters, 1999, vol. 42, issue 1, 81-89

Abstract: This paper considers the behaviour of the Dickey-Fuller tests when the variable being studied is generated according to Perron's (1989) crash hypothesis. We show that these statistics tend towards the Dickey-Fuller distributions under the null hypothesis and diverge towards -[infinity] under the alternative.

Keywords: Unit; root; Crash; hypothesis; Wiener; processes (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (15)

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