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

Statistics and Probability Letters

Volumn 42, Issue 1, 1999, Pages 81-89

  Montañés, Antonio ^a   Reyes, Marcelo ^a  

^a UNIVERSITY OF ZARAGOZA   (Spain)

Author keywords

C22; Crash hypothesis; Unit root; Wiener processes

Indexed keywords

EID: 0009318601     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0167-7152(98)00201-6     Document Type: Article

References (13)

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