Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation.
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Publication:1292221
DOI10.1016/S0167-9473(98)00100-5zbMath1042.62603MaRDI QIDQ1292221
Publication date: 20 June 1999
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
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Cites Work
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- Alternative stratetgies for ‘augmenting’ the dickey-fuller test: size-robustness in the face of pre-testing
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
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