The behaviour of Dickey-Fuller and Phillips-Perron tests under the alternative hypothesis

The two most commonly applied tests of the null hypothesis of a unit autoregres-sive root in a time series generating process are examined. Simple theoretical calculations, confirmed by simulation evidence, suggest that the probabilities of rejection of the null hy-pothesis of those tests can differ substantially when the true generating process is a stationary second-order autoregression.

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Year of publication:	1999
Authors:	LEYBOURNE, STEPHEN J. ; NEWBOLD, PAUL
Published in:	Econometrics Journal. - Royal Economic Society - RES. - Vol. 2.1999, 1, p. 92-106
Publisher:	Royal Economic Society - RES
Subject:	Power comparisons \| Unit root tests

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005405422