Response surfaces estimates for the Dickey-Fuller unit root test with structural breaks. (English) Zbl 0923.90032
Summary: The lack of suitable critical values for the Dickey-Fuller integrability test in finite samples can drive researchers to spurious conclusions when using asymptotic critical values. In this paper we estimate response surfaces for the Dickey-Fuller unit root test with structural breaks that allow us to obtain approximate critical values for any sample size and break date.
MSC:
| 91B82 | Statistical methods; economic indices and measures |
References:
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