Nelson, Charles R. (contributor); Zivot, Eric (contributor); … - 2001 - [Elektronische Ressource]
modifying the Augmented Dickey-Fuller test with dummy variables to account
for a single structural break. Christiano (1992 … Augmented Dickey-Fuller test does a poor job of
distinguishing an I(0) process with Markov-switching breaks in trend growth rate … consider the following values of
00
p : 0.9, 0.95, 0.98 and of
11
p : 0.5, 0.6, 0.7, 0.8, 0.9,
0.95, 0.98.
Augmented Dickey-Fuller …