EFFECT OF A SHIFT IN THE TREND FUNCTION ON DICKEY–FULLER UNIT ROOT TESTS
趋势函数突变对 Dickey–Fuller 单位根检验的影响
This article analyzes the asymptotic behavior of the Dickey–Fuller unit root tests when the variable is generated under the breaking trend hypothesis. Our results show that the asymptotic behavior of these statistics allows for the rejection of the unit root hypothesis. This asymptotic finding contrasts with the results that can be found in the literature devoted to the analysis of the integration order of a variable in the presence of a structural break. However, some Monte…