Behavior of the standard Dickey–Fuller test when there is a Fourier-form break under the null hypothesis
| Autor: | Chingnun Lee, Jen-Je Su, Lixiong Yang |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Economics and Econometrics
05 social sciences Null (mathematics) Structural break Asymptotic distribution Phillips–Perron test Dickey–Fuller test Augmented Dickey–Fuller test symbols.namesake Fourier transform Unit root test 0502 economics and business Econometrics symbols Applied mathematics 050207 economics Finance 050205 econometrics Mathematics |
| Zdroj: | Economics Letters. 159:128-133 |
| ISSN: | 0165-1765 |
| DOI: | 10.1016/j.econlet.2017.07.016 |
| Popis: | We derive the null asymptotic distribution of the standard Dickey–Fuller test with the existence of an unnoticed Fourier component. The so-called converse Perron phenomenon might occur, but only in the trend-case with a low-frequency Fourier component and small error variance. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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