Unit root testing in the presence of innovation variance breaks: a simple solution with increased power (Q1848019): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Latest revision as of 05:54, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Unit root testing in the presence of innovation variance breaks: a simple solution with increased power |
scientific article |
Statements
Unit root testing in the presence of innovation variance breaks: a simple solution with increased power (English)
0 references
29 October 2002
0 references
Summary: The Dickey-Fuller unit root test is known to suffer severe oversizing in the presence of innovation variance breaks. In this paper, forward and reverse Dickey-Fuller regressions are proposed as a means of correcting this size distortion. The results of Monte Carlo experimentation show such an approach to result in both satisfactory size properties and increased power relative to previously suggested solutions.
0 references
