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- W2065727380 abstract "Abstract. We analyse the case where a unit‐root test is based on a Dickey–Fuller regression the only deterministic term of which is a fixed intercept. Suppose, however, as could well be the case, that the actual data‐generating process includes a broken linear trend. It is shown theoretically, and verified empirically, that under the I (1) null and I (0) alternative hypotheses the Dickey–Fuller test can display a wide range of different characteristics depending on the nature and location of the break." @default.
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- W2065727380 date "2004-07-27" @default.
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- W2065727380 title "Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification" @default.
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- W2065727380 doi "https://doi.org/10.1111/j.1467-9892.2004.02000.x" @default.
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