Unit root testing in the presence of innovation variance breaks: a simple solution with increased power (Q1848019)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Unit root testing in the presence of innovation variance breaks: a simple solution with increased power |
scientific article; zbMATH DE number 1821321
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Unit root testing in the presence of innovation variance breaks: a simple solution with increased power |
scientific article; zbMATH DE number 1821321 |
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
0.9009724855422974
0 references
0.8880317807197571
0 references
0.8880313038825989
0 references
0.8818902969360352
0 references
0.8592411875724792
0 references
