The balance between size and power in Dickey-Fuller tests with data-dependent rules for the choice of truncation lag

DOI10.1016/S0165-1765(96)00866-XMaRDI QIDQ673193zbMATHOpenAlexWikidataFDO

Authors Christos Agiakloglou, Paul Newbold

Publication date 28 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(96)00866-x

zbMATH Keywords

unit rootsMoving average termsTime-series processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
• Lag truncation and the local asymptotic distribution of the ADF test for a unit root

Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Statistical analysis of cointegration vectors
• 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

(6)

• 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
• Using influence function for lag truncation in unit root tests
• Power of the augmented dickey-fuller test with information-based lag selection
• Covariate unit root tests with good size and power
• The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study

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