Power of the augmented dickey-fuller test with information-based lag selection

DOI10.1080/00949659808811871zbMath0906.62083OpenAlexW2128258436MaRDI QIDQ4383709

Kon S. Lai, Yin-Wong Cheung

Publication date: 2 April 1998

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659808811871

zbMATH Keywords

Monte Carlocritical valuesinformation criteriontest powerlag orderADFfinite-sample critical value

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Estimating the dimension of a model
• A new look at the statistical model identification

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