Maican, Florin G.; Sweeney, Richard J. - In: Applied Economics 46 (2014) 1, pp. 111-118
This article examines power issues for the ADF and four break models (Perron, 1989; Zivot and Andrews, 1992) when the DGP corresponds to one of the break models. Choosing to test an incorrect break model can, but need not, greatly reduce the probability of rejecting the null. Break points that are...
