The balance between size and power in Dickey-Fuller tests with data-dependent rules for the choice of truncation lag
From MaRDI portal
Publication:673193
DOI10.1016/S0165-1765(96)00866-XzbMath0900.90186WikidataQ126311873 ScholiaQ126311873MaRDI QIDQ673193
Christos Agiakloglou, Paul Newbold
Publication date: 28 February 1997
Published in: Economics Letters (Search for Journal in Brave)
Related Items
The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study, A sequential procedure for testing the existence of a random walk model in finite samples, A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC
Cites Work
- Unnamed Item
- Statistical analysis of cointegration vectors
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Testing for unit roots in autoregressive-moving average models of unknown order
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag