The power of the ADF test

DOI10.1016/S0165-1765(97)81872-1zbMath0904.90034OpenAlexW2002578849WikidataQ127360868 ScholiaQ127360868MaRDI QIDQ1127368

J. Humberto Lopez

Publication date: 13 August 1998

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(97)81872-1

zbMATH Keywords

unit rootsasymptotic powerDickey-Fuller

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (7)

Spectral approach to parameter-free unit root testing ⋮ Testing the persistence of the forward premium: structural changes or misspecification? ⋮ Distribution theory for the Studentized mean for long, short, and negative memory time series ⋮ BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY ⋮ BootstrapMUnit Root Tests ⋮ Lag truncation and the local asymptotic distribution of the ADF test for a unit root ⋮ The asymptotic size and power of the augmented Dickey–Fuller test for a unit root

Cites Work

• Consistent autoregressive spectral estimates
• Testing for unit roots in autoregressive-moving average models of unknown order
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

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