The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis

被引：13

作者：

Montañés, A ^{[1
]}

Reyes, M ^{[1
]}

机构：

[1] Univ Zaragoza, Dept Econ Anal, Zaragoza 50005, Spain

来源：

STATISTICS & PROBABILITY LETTERS | 1999年 / 42卷 / 01期

关键词：

unit root; crash hypothesis; Wiener processes;

D O I：

10.1016/S0167-7152(98)00201-6

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper considers the behaviour of the Dickey-Fuller tests when the variable being studied is generated according to Perron's (1989) crash hypothesis. We show that these statistics tend towards the Dickey-Fuller distributions under the null hypothesis and diverge towards -infinity under the alternative. (C) 1999 Elsevier Science B.V. All rights reserved.

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收藏

页码：81 / 89

页数：9

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