You are not currently logged in.
Access JSTOR through your library or other institution:
If You Use a Screen ReaderThis content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Effect of a Shift in the Trend Function on Dickey-Fuller Unit Root Tests
Antonio Montañés and Marcelo Reyes
Vol. 14, No. 3 (Jun., 1998), pp. 355-363
Published by: Cambridge University Press
Stable URL: http://www.jstor.org/stable/3532773
Page Count: 9
You can always find the topics here!Topics: Null hypothesis, Estimators, Root test, Parametric models, Economic trends, Roots of functions, Statistical models, Economic statistics, Economic theory, Mathematical independent variables
Were these topics helpful?See something inaccurate? Let us know!
Select the topics that are inaccurate.
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Preview not available
This article analyzes the asymptotic behavior of the Dickey-Fuller unit root tests when the variable is generated under the breaking trend hypothesis. Our results show that the asymptotic behavior of these statistics allows for the rejection of the unit root hypothesis. This asymptotic finding contrasts with the results that can be found in the literature devoted to the analysis of the integration order of a variable in the presence of a structural break. However, some Monte Carlo exercises show that the argument of Perron (1989, Econometrica 57, 1361-1401) that the tests are biased in favor of nonrejection of the unit root hypothesis remains valid for sample sizes of practical interest.
Econometric Theory © 1998 Cambridge University Press