Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification

Stephen Leybourne (), Tae-Hwan Kim () and Paul Newbold
Additional contact information
Paul Newbold: Nottingham

Econometrics from University Library of Munich, Germany

Abstract: We analyse the case where a unit root test is based on a Dickey-Fuller regression whose only deterministic term is a fixed intercept. Suppose, however, as could well be the case, that the actual data generating process includes a broken linear trend. It is shown theoretically, and verified empirically, that under the I(1) null and I(0) alternative hypotheses the Dickey-Fuller test can display a wide range of different characteristics depending on the nature and location of the break.

JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2003-11-17
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: Type of Document -
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0311/0311008.pdf (application/pdf)

Related works:
Journal Article: Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0311008

Access Statistics for this paper

More papers in Econometrics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).