Unit root testing in the presence of innovation variance breaks: a simple solution with increased power
type: Item
instance of: scholarly article
title: Unit root testing in the presence of innovation variance breaks: a simple solution with increased power
zbMATH Open document ID: 1107.62358
DOI: 10.1155/S1110757X02107029
author: Steven Cook
published in: Journal of Applied Mathematics
publication date: 2002-10-29T00:00:00Z
full work available at URL: https://eudml.org/doc/53040
review text: Summary: The Dickey-Fuller unit root test is known to suffer severe oversizing in the presence of innovation variance breaks. In this paper, forward and reverse Dickey-Fuller regressions are proposed as a means of correcting this size distortion. The results of Monte Carlo experimentation show such an approach to result in both satisfactory size properties and increased power relative to previously suggested solutions.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 1821321
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1821321