Lag length selection in DF-GLS unit root tests
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Recommendations
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Lag length selection for unit root tests in the presence of nonstationary volatility
- Lag truncation and the local asymptotic distribution of the ADF test for a unit root
- The performance of lag selection and detrending methods for HEGY seasonal unit root tests
- GLS detrending, efficient unit root tests and structural change.
Cites work
- Efficient Tests for an Autoregressive Unit Root
- scientific article; zbMATH DE number 3550005 (Why is no real title available?)
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Testing for unit roots in autoregressive-moving average models of unknown order
- The power of bootstrap and asymptotic tests
Cited in
(7)- Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
- Lag optimisation and finite-sample size distortion of unit root tests
- Lag truncation and the local asymptotic distribution of the ADF test for a unit root
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Lag length selection for unit root tests in the presence of nonstationary volatility
- The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study
- The performance of lag selection and detrending methods for HEGY seasonal unit root tests
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