The asymptotic size and power of the augmented Dickey–Fuller test for a unit root

DOI10.1080/00927872.2016.1178887zbMath1490.62216OpenAlexW2343407506MaRDI QIDQ5860888

Dimitris N. Politis, Efstathios Paparoditis

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00927872.2016.1178887

zbMATH Keywords

hypothesis testingrandom walkautoregressive representation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items

Lag truncation and the local asymptotic distribution of the ADF test for a unit root

Uses Software

• astsa

Cites Work

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