EFFECT OF A SHIFT IN THE TREND FUNCTION ON DICKEY–FULLER UNIT ROOT TESTS
分析了当变量在断裂趋势假设下生成时，迪基-富勒单位根检验的渐近行为，发现检验可能拒绝单位根假设，但蒙特卡洛模拟表明在实际样本量下仍存在偏差。
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 Carlo exercises show that the argument of Perron (1989, Econometrica 57, 1361–1401) that the tests are biased in favor of nonrejection of the unit root hypothesis remains valid for sample sizes of practical interest.