The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis

This paper considers the behaviour of the Dickey-Fuller tests when the variable being studied is generated according to Perron's (1989) crash hypothesis. We show that these statistics tend towards the Dickey-Fuller distributions under the null hypothesis and diverge towards -[infinity] under the alternative.

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Year of publication:	1999
Authors:	Montañés, Antonio ; Reyes, Marcelo
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 42.1999, 1, p. 81-89
Publisher:	Elsevier
Keywords:	Unit root Crash hypothesis Wiener processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319955