Finite-sample critical values of the Augmented Dickey-Fuller statistic: a note on lag order

The lag order dependence of finite-sample Augmented Dickey-Fuller (ADF) critical values is examined via a comparison of the response surface specifications of Cheung and Lai (1995) and MacKinnon (1991). Theoretical, Monte Carlo and empirical evidence show failure to incorporate lag order effects reduces the power of the ADF test to reject the unit root null hypothesis. ?

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Year of publication:	2001
Authors:	Cook, S
Published in:	Economic Issues Journal Articles. - Nottingham Business School. - Vol. 6.2001, 2, p. 31-46
Publisher:	Nottingham Business School

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010562147