The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis. (English) Zbl 1087.62511

Summary: This paper considers the behaviour of the Dickey-Fuller tests when the variable being studied is generated according to P. Perron’s crash hypothesis [Econometrica 57, No. 6, 1361–1401 (1989; Zbl 0683.62066)]. We show that these statistics tend towards the Dickey-Fuller distributions under the null hypothesis and diverge towards \(-\infty\) under the alternative.


62P20 Applications of statistics to economics
91B84 Economic time series analysis
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)


Zbl 0683.62066
Full Text: DOI


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