Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155283 | Statistics & Probability Letters | 2007 | 6 Pages |
Abstract
We show that Dickey & Fuller's [Distribution of the estimator for autoregressive time series with a unit root. J. Amer. Statist. Assoc. 74, 427–431; Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49, 1057–1072] normalized estimator and FF-statistics for the unit root null hypothesis will spuriously reject the null hypothesis if there is a break in the innovation variance relatively early in the sample.
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Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Amit Sen,