The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests
AbstractIn this paper the author uses numerical techniques to investigate the finite sample porperties of data-based approaches to selecting the lag truncation order in the context of the augmented Dickey-Fuller unit root test in a general autoregressice first-order integrated moving-average model.
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Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.
Volume (Year): 62 (2000)
Issue (Month): 2 (May)
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Other versions of this item:
- Taylor, A.M.R., 1999. "The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests," Discussion Papers, Department of Economics, University of Birmingham 99-14, Department of Economics, University of Birmingham.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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- Artur Silva Lopes, 2006.
"Deterministic seasonality in Dickey–Fuller tests: should we care?,"
Empirical Economics, Springer,
Springer, vol. 31(1), pages 165-182, March.
- Artur Da Silva Lopes, 2004. "Deterministic Seasonality In Dickey-Fuller Tests: Should We Care?," Royal Economic Society Annual Conference 2004, Royal Economic Society 75, Royal Economic Society.
- Artur C. B. da Silva Lopes, 2004. "Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?," Econometrics, EconWPA 0402007, EconWPA, revised 18 Mar 2004.
- B. da Silva Lopes, Artur C., 2005. "Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests," MPRA Paper 125, University Library of Munich, Germany, revised May 2006.
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