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EXAMINATION OF SOME MORE POWERFUL MODIFICATION OF THE DICKEY-FULLER TEST
Category: Econometrics
UNIT ROOT TESTS III Tuesday 27th August 2002, 14:30 - 16:00, Room: 1.11
Session Chair(s):
Giuseppe Cavaliere, University of Bologna, ITALY
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Abstract:
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Although the t-ratio variant of the Dickey-Fuller test is the most commonly applied unit root test in practical applications, it has been known for some time that readily implementable more powerful modifications are available. We explore the large sample properties of five of these modified tests, and the small sample properties of these five plus six hybrids. As a result of this study we recommend two particular test procedures.
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Find this file in the \Papers\557\ folder of this CD-ROM.
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