The balance between size and power in Dickey-Fuller tests with data-dependent rules for the choice of truncation lag

DOI10.1016/S0165-1765(96)00866-XzbMath0900.90186OpenAlexW1969555028WikidataQ126311873 ScholiaQ126311873MaRDI QIDQ673193

Christos Agiakloglou, Paul Newbold

Publication date: 28 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(96)00866-x

zbMATH Keywords

unit rootsMoving average termsTime-series processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (3)

The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study ⋮ A sequential procedure for testing the existence of a random walk model in finite samples ⋮ A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC

Cites Work

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• Statistical analysis of cointegration vectors
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

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