LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power

DOI10.1111/1468-0262.00256zbMath1056.62529OpenAlexW2169107902MaRDI QIDQ4531042

Pierre Perron, Serena Ng

Publication date: 28 May 2002

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://fmwww.bc.edu/EC-P/wp369.pdf

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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