Alternative stratetgies for ‘augmenting’ the dickey-fuller test: size-robustness in the face of pre-testing
DOI10.1080/00949659508811709zbMath0880.62117OpenAlexW2027248740MaRDI QIDQ4352565
David E. A. Giles, Johannah L. Dods
Publication date: 4 September 1997
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949659508811709
Monte Carlo simulationunit root testssize distortionaugmented Dickey-Fuller testnon-stationary time-series
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items (2)
Uses Software
Cites Work
- Trends and random walks in macroeconomic time series
- Is there a long-run relation between the trade balance and the real effective exchange rate of LDCs!
- Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
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- Testing for a unit root in time series regression
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Algorithm 488: A Gaussian pseudo-random number generator
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
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