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Empirical Evidence On Dickey‐Fuller‐Type Tests

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  • C. Agiakloglou
  • P. Newbold

Abstract

. The empirical performance of tests of the Dickey–Fuller type for unit autoregressive roots in the generating model of a time series is studied. In particular, the case where the true generating model structure is unknown and may involve a substantial moving‐average component is examined.

Suggested Citation

  • C. Agiakloglou & P. Newbold, 1992. "Empirical Evidence On Dickey‐Fuller‐Type Tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(6), pages 471-483, November.
    • Handle: RePEc:bla:jtsera:v:13:y:1992:i:6:p:471-483
    DOI: 10.1111/j.1467-9892.1992.tb00121.x
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    Cited by:

    1. Aurelia Rybak & Aleksandra Rybak & Jarosław Joostberens & Joachim Pielot & Piotr Toś, 2024. "Analysis of the Impact of Clean Coal Technologies on the Share of Coal in Poland’s Energy Mix," Energies, MDPI, vol. 17(6), pages 1-17, March.
    2. Pedersen, Thomas Quistgaard & Schütte, Erik Christian Montes, 2020. "Testing for explosive bubbles in the presence of autocorrelated innovations," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 207-225.
    3. Alastair Hall, 1995. "Residual Autocovariances And Unit Root Tests Based On Instrumental Variable Estimators From Time Series Regression Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(6), pages 555-569, November.
    4. Yin‐Wong Cheung & Kon S. Lai, 1995. "Estimating Finite Sample Critical Values For Unit Root Tests Using Pure Random Walk Processes:A Note," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(5), pages 493-498, September.
    5. Agiakloglou, Christos & Deligiannakis, Emmanouil, 2020. "Sovereign risk evaluation for European Union countries," Journal of International Money and Finance, Elsevier, vol. 103(C).
    6. Hu Yin & Menghan Si & Qian Li & Jinke Zhang & Liming Dai, 2019. "Kick Risk Forecasting and Evaluating During Drilling Based on Autoregressive Integrated Moving Average Model," Energies, MDPI, vol. 12(18), pages 1-21, September.
    7. repec:sek:ibmpro:3004657 is not listed on IDEAS
    8. Consuelo Arellano & Sastry G. Pantula, 1995. "Testing For Trend Stationarity Versus Difference Stationarity," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(2), pages 147-164, March.

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