On infimum Dickey–Fuller unit root tests allowing for a trend break under the null
Trend breaks appear to be prevalent in macroeconomic time series. Consequently, to avoid the catastrophic impact that unmodelled trend breaks have on power, it is standard empirical practice to employ unit root tests which allow for such effects. A popularly applied approach is the infimum ADF-type...
| Main Authors: | , , |
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| Format: | Article |
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Elsevier
2014
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/32663/ |