On the end-point issue in unit root tests in the presence of a structural break
نویسنده
چکیده
This paper shows that the spurious rejection problem illustrated by Leybourne et al. (1998) [Leybourne, S.J., Mills, T., Newbold, P., 1998. Spurious rejections by Dickey–Fuller tests in the presence of a break under the null. Journal of Econometrics 87, 191–203] is restricted to the DF type test, which is based on the conditional likelihood function discarding the first observation. 2000 Elsevier Science S.A. All rights reserved.
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تاریخ انتشار 2000