Unusual behaviour of Dickey-Fuller tests in the presence of trend misspecification : Comment

In this paper we present explanation on the phenomenon pointed out in Cook and Manning (2002) on the unusual behaviour of the Dickey-Fuller test in the presence of trend misspecification. It appears that the rejection frequency of the unit root tests in the presence of trend misspecification is very sensitive to the number of the initial observations that need to be discarded. Based on the evidence from the Monte Carlo simulations, we show that for the DGP in Cook and Manning (2002), the unusual behaviour of the Dickey-Fuller test disappears as the number of the discarded initial observations becomes sufficiently large.

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Year of publication:	2003
Authors:	Siliverstovs, Boriss
Publisher:	Berlin : Deutsches Institut für Wirtschaftsforschung (DIW)
Subject:	Unit Root Test \| Modell-Spezifikation \| Theorie \| Dickey-Fuller test \| unit root hypothesis testing

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Series:	DIW Discussion Papers ; 389
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	851378463 [GVK] hdl:10419/18151 [Handle] RePEc:diw:diwwpp:dp389 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010260712