Abstract Right-tailed Dickey–Fuller-type unit root tests against the explosive alternative have become popular in economics and finance for detecting asset price bubbles. This paper studies the size properties of fixed sample and recursive right-tailed Dickey–Fuller tests if the relevant series contains a unit root, but a structural break in the drift parameter occurs. It is shown that positive size distortion and therefore spurious rejections of the unit root null hypothesis in favour of the explosive alternative can be a problem for both types of test. Some possible solutions to this problem are briefly discussed.

中文翻译：

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零位下存在中断的固定和递归右尾Dickey-Fuller检验

摘要针对爆炸性替代方案的右尾Dickey-Fuller型单位根检验已在经济学和金融学中广泛用于检测资产价格泡沫。本文研究了固定样本和递归右尾Dickey-Fuller检验的大小属性，如果相关序列包含单位根，但漂移参数发生结构性断裂。结果表明，对于两种类型的测试，正尺寸畸变以及因此对单位根无效假设的虚假拒绝都有利于爆炸选择。简要讨论了此问题的一些可能解决方案。