The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests.

In this paper the author uses numerical techniques to investigate the finite sample porperties of data-based approaches to selecting the lag truncation order in the context of the augmented Dickey-Fuller unit root test in a general autoregressice first-order integrated moving-average model.

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Year of publication:	1999
Authors:	Taylor, A.M.R.
Institutions:	Department of Economics, University of Birmingham
Subject:	REGRESSION ANALYSIS \| ECONOMETRICS \| TIME SERIES

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Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	16 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005738233