Cook, Steven; Manning, Neil - In: Economics Bulletin 3 (2002) 8, pp. 1-7
This paper analyses the properties of Dickey-Fuller (1979) (DF) unit root tests in the presence of trend mis-specification. It is shown that while the performance of the DF coefficient test is as expected, the DF test in its t-ratio form exhibits unusual behaviour. In particular it is found that...
