On infimum Dickey–Fuller unit root tests allowing for a trend break under the null
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چکیده
منابع مشابه
On infimum Dickey-Fuller unit root tests allowing for a trend break under the null
Trend breaks appear to be prevalent in macroeconomic time series. Consequently, to avoid the catastrophic impact that unmodelled trend breaks have on power it is standard empirical practice to employ unit root tests which allow for such effects. A popularly applied approach is the infimum ADF-type test. Its appeal has endured with practitioners despite results which show that the infimum ADF st...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2014
ISSN: 0167-9473
DOI: 10.1016/j.csda.2012.10.017