Examination of Some More Powerful Modifications of the Dickey-Fuller Test

Although the t-ratio variant of the Dickey-Fuller test is the most commonly applied unit-root test in practical applications, it has been known for some time that readily implementable, more powerful modifications are available. We explore the large-sample properties of five of these modified tests, and the small-sample properties of these five plus six hybrids. As a result of this study we recommend two particular test procedures

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Year of publication:	2005
Authors:	Leybourne, Stephen James ; Kim, Tae-hwan ; Newbold, Paul
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Einheitswurzeltest \| Unit root test

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Extent:	1 Online-Ressource (15 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014065620