Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.

DOI10.1016/S0167-7152(02)00280-8zbMath1092.62582MaRDI QIDQ1871315

Steven Cook

Publication date: 7 May 2003

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(02)00280-8

zbMATH Keywords

Monte Carlo; Unit root test; Recursive mean adjustment; Structural breaks; methods

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Size distortion of asymmetric unit root tests in the presence of level shifts, Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests, Finite-sample properties of modified unit root tests in the presence of structural change., On the finite-sample size distortion of smooth transition unit root tests, Properties of recursive trend-adjusted unit root tests, Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures, Using panel data to increase the power of modified unit root tests in the presence of structural breaks, The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks, Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power

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