The behaviour of Dickey–Fuller and Phillips–Perron testsunder the alternative hypothesis

DOI10.1111/1368-423X.00022zbMath0935.91037OpenAlexW2051119865MaRDI QIDQ4705830

Paul Newbold, Stephen J. Leybourne

Publication date: 25 November 1999

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1368-423x.00022

zbMATH Keywords

time seriesunit root testspower comparisons

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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A sequential procedure for testing the existence of a random walk model in finite samples ⋮ A comparison of alternative unit root tests ⋮ A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC

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