Krämer, Walter; Davies, Laurie - 2000
focussing on a conventional test procedure, the standard Dickey-Fuller-test, and by investigating its properties under a … data transformation. Granger and Hallmann (1991) find through Monte Carlo that the standard Dickey-Fuller-test overrejects … obtains when the levels follow a random walk, but the Dickey-Fuller-test is applied to the logs. Again, the rejection …