Kim et al. (2002) demonstrate that the Dickey-Fuller unit root test can experience severe size distortion when a large decrease in the innovation variance occurs early in the sample period, leading to spurious rejection of the null. We extend this analysis to the case of spurious identification...

The lag order dependence of finite-sample Augmented Dickey-Fuller (ADF) critical values is examined via a comparison of the response surface specifications of Cheung and Lai (1995) and MacKinnon (1991). Theoretical, Monte Carlo and empirical evidence show failure to incorporate lag order effects...