Unit Root Tests in the presence of Uncertainty about the Non-Stochastic Trends.

A sequential procedure for determination of trend degree and testing for unit root is introduced; its properties are investigated by Monte Carlo experiments. We compare the performance of Augmented Dickey-Fuller tests and the GLS tests of Elliott, Rothenberg and Srock (1996), in both cases with lag length selected by the BIC criterion.

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Year of publication:	1996
Authors:	Ayat, L. ; Burridge, P.
Institutions:	Department of Economics, University of Birmingham
Subject:	UNIT ROOTS \| TESTS

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Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	29 pages
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005146595