On infimum Dickey–Fuller unit root tests allowing for a trend break under the null

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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...

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Bibliographic Details
Main Authors:	Harvey, David I., Leybourne, Stephen J., Taylor, A.M. Robert
Format:	Article
Published:	Elsevier 2014
Subjects:	Unit root test; Trend break; Minimum Dickey–Fuller test
Online Access:	https://eprints.nottingham.ac.uk/32663/

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