The power of the ADF test

DOI10.1016/S0165-1765(97)81872-1MaRDI QIDQ1127368zbMATH OpenOpenAlexWikidataFDO

Authors 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

asymptotic powerunit rootsDickey-Fuller

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• The asymptotic size and power of the augmented Dickey-Fuller test for a unit root
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
• On the Dickey-Fuller test with white standard errors

Cites work

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

Cited in

(10)

• On the Dickey-Fuller test with white standard errors
• Spectral approach to parameter-free unit root testing
• Extended tabulations for Dickey-Fuller tests
• The asymptotic size and power of the augmented Dickey-Fuller test for a unit root
• BootstrapMUnit Root Tests
• 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
• The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
• Lag truncation and the local asymptotic distribution of the ADF test for a unit root
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY

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