Arranz, Miguel A.; Escribano, Alvaro; Mármol, Francesc - Departamento de Economía, Universidad Carlos III de Madrid - 2002
Conventional univariate Dickey-Fuller tests tend to produce spurious stationarity when there exist additive outlying observations in the time series. Correct critical values are usually obtained by adding dummy variables to the Dickey-Fuller regression. This is a nice theoretical result but not...