IDEAS home Printed from https://ideas.repec.org/a/ebl/ecbull/eb-02c40013.html
   My bibliography  Save this article

Unusual behaviour of Dickey-Fuller tests in the presence of trend mis-specification

Author

Listed:
  • Steven Cook

    (University of Wales Swansea)

  • Neil Manning

    (University of Wales Swansea)

Abstract

This paper analyses the properties of Dickey-Fuller (1979) (DF) unit root tests in the presence of trend mis-specification. It is shown that while the performance of the DF coefficient test is as expected, the DF test in its t-ratio form exhibits unusual behaviour. In particular it is found that the power of the test increases as the autoregressive parameter approaches 1. Interestingly, this increased power is not accompanied by oversizing.

Suggested Citation

  • Steven Cook & Neil Manning, 2002. "Unusual behaviour of Dickey-Fuller tests in the presence of trend mis-specification," Economics Bulletin, AccessEcon, vol. 3(8), pages 1-7.
    • Handle: RePEc:ebl:ecbull:eb-02c40013
    as

    Download full text from publisher

    File URL: http://www.accessecon.com/pubs/EB/2002/Volume3/EB-02C40013A.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047.
    2. repec:zbw:bofism:2012_047 is not listed on IDEAS
    3. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047.

    More about this item

    Keywords

    DF test;

    JEL classification:

    • C9 - Mathematical and Quantitative Methods - - Design of Experiments

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-02c40013. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: John P. Conley (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.