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

zbMATH Keywords

Monte Carlo simulationunit root testssize distortionaugmented Dickey-Fuller testnon-stationary time-series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (2)

Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation. ⋮ Wavelet energy ratio unit root tests

Uses Software

• SHAZAM

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
• Residual based tests for cointegration. A Monte Carlo study of size distortions
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for Unit Roots: 2
• 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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