Limiting Behaviour of Dickey-Fuller F-Tests Under Crash Model Alternative
The Econometrics Journal
- We derive the limiting behaviour of Dickey and Fuller's (1981) F-statistics when the trend-break alternative is the crash model that allows for a one time shift in the intercept. We show that both F-statistics are consistent against the crash alternative hypothesis. The power of the F-statistics in finite samples is studied and compared to that of the Dickey—Fuller (1979) statistics, namely, the pseudo t-ratio and the normalized estimator.
Sen, Amit, "Limiting Behaviour of Dickey-Fuller F-Tests Under Crash Model Alternative" (2003). Faculty Scholarship. Paper 124.