Econometric Society 57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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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

Presenter(s): Kim, Tae-Hwan

Co-Author(s): Leybourne, Stephen and Newbold, Paul

Keyword(s): GLS detrending, reverse regression, unit root test, weighted symmetric estimation

JEL(s): C22

Abstract:

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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Paper Reference Number: 557

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57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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