Response surfaces for the dickey-fuller unit root test with structural breaks

Josep Lluis Carrion Silvestre, Andreu Sansó and Manuel Artís

No 25, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: The lack of suitable critical values for the Dickey-Fuller integrability test in finite-samples can drive researchers to spurious conclusions when using asymptotic critical values. In this paper we estimate response surfaces for the Dickey-Fuller unit root test with structural breaks that allow to obtain aproximate critical values for whatever sample size and break date. The models that we have taken into account are those of Perron (1989), that assume the time break to be exogenous so that the integrability analysis is conditional on that date.

JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 0 pages
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bar:bedcje:199825

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