Badillo Amador, Rosa; Belaire Franch, Jorge; Reverte … - In: Revista de Métodos Cuantitativos para la Economía y … 9 (2010) 1, pp. 3-16
Leybourne et al. (1998) have proved the possibility of a “converse Perron phenomenon” when conventional Dickey-Fuller tests are applied to determine the order of integration of a time series. That is, if the true generating process is I(1) but with a break, frequent spurious rejections of...