Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative

Sen, Amit

doi:10.1111/1368-423x.t01-1-00117

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Cited by 4 publications

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“…The reason is that when specifying the first or the second model, if the real model were different, the test would loose a lot of power. Instead if the model specified is the ;?>third while the real underlying model is either the first or the second one the loss of power is lesser (Sen, )…”

Section: Methodology and Datamentioning

confidence: 99%

Were Financial Flows in Latin America and the Caribbean Shifted by their Crises?

Delbianco

Fioriti

2014

Int. J Fin Econ

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We study in this paper the presence of structural breaks in the capital flows of 16 economies of Latin America using a unit root test. This is complemented with a specific test of structural breaks and another unit root test. Afterward we proceed to analyze the likelihood of contemporaneity between the breaks found and the crises the countries had suffered in the last 40 years. These crises were either of currency, banking, domestic and external debt type. We find many cases of contemporaneity, especially with the crises that occurred at the end of the 90s. Copyright © 2014 John Wiley & Sons, Ltd.

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Section: Methodology and Datamentioning

confidence: 99%