<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1405-3195</journal-id>
<journal-title><![CDATA[Agrociencia]]></journal-title>
<abbrev-journal-title><![CDATA[Agrociencia]]></abbrev-journal-title>
<issn>1405-3195</issn>
<publisher>
<publisher-name><![CDATA[Colegio de Postgraduados]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1405-31952007000200193</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Efectos de rompimientos bajo la hipótesis nula de la prueba dickey-fuller para raíz unitaria]]></article-title>
<article-title xml:lang="en"><![CDATA[Effects of breaks under the null hypothesis with the Dickey-Fuller test for unit root]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Lizarazu-Alanez]]></surname>
<given-names><![CDATA[Eddy]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Villaseñor-Alva]]></surname>
<given-names><![CDATA[José A.]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Colegio de Postgraduados Campus Montecillo ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Colegio de Postgraduados Campus Montecillo ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>03</month>
<year>2007</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>03</month>
<year>2007</year>
</pub-date>
<volume>41</volume>
<numero>2</numero>
<fpage>193</fpage>
<lpage>203</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1405-31952007000200193&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1405-31952007000200193&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1405-31952007000200193&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen La prueba Dickey-Fuller (DF) tiene baja potencia si se basa en un estimador de mínimos cuadrados para el parámetro de un proceso autorregresivo (Yt &#8722; &#956;)= &#961;(Y  t-1 &#8722;&#956;)+ut, con errores u  t &#8764;iidN (0,&#963;2), donde H 0:&#961;=1 y H1: |&#961;| &lt; 1. Cuando la serie que corresponde a un proceso de raíz unitaria tiene un rompimiento, la prueba Dickey-Fuller conduce al rechazo espurio de la hipótesis nula. En este trabajo se estudia, a través de simulación de Monte Carlo, los efectos en la prueba DF para dos tipos de rompimientos bajo la hipótesis nula: (1) la coexistencia de rompimientos en el nivel de la serie y en la varianza del término de error; (2) dos rompimientos en el nivel de la serie. Los resultados de la simulación confirman la robustez de la prueba Dickey-Fuller de ajuste de medias recursivas (DFR) respecto a la prueba DF.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract The Dickey-Fuller (DF) test has low power if it is based on the least squares estimator for the parameter of an autoregressive process (Y  t &#8722;&#956;)=&#961; (Y  t-1 &#8722;&#956;)+u  t , with error u  t &#8764;iidN (0,&#963;2), where H 0: &#961;=1 and H1: |&#961;| &lt; 1. When the series that corresponds to a unit root process has a break, the Dickey-Fuller test leads to a spurious rejection of the null hypothesis. This article studies, through Monte Carlo simulation, the effects in the DF test for two types of breaks under the null hypothesis: (1) the coexistence of breaks in the level of the series and in the variance of the error term; (2) two breaks in the level of the series. The simulation results confirm the property of robustness of the recursive mean adjustment Dickey-Fuller (DFR) test regarding the DF test.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Ajuste de medias recursivas]]></kwd>
<kwd lng="es"><![CDATA[raíces unitarias]]></kwd>
<kwd lng="es"><![CDATA[rompimientos estructurales]]></kwd>
<kwd lng="es"><![CDATA[procesos autorregresivos]]></kwd>
<kwd lng="en"><![CDATA[Recursive mean adjustment]]></kwd>
<kwd lng="en"><![CDATA[structural break]]></kwd>
<kwd lng="en"><![CDATA[unit root, autoregressive processes]]></kwd>
</kwd-group>
</article-meta>
</front><back>
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