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F versus t tests for unit roots: a comment

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Author Info
Paulo M. M. Rodrigues () (Faculty of Economics, University of Algarve)
Andrew Tremayne () (Department of Economics, University of York)

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Abstract

In this note we provide justification for some Monte Carlo results presented by Elder and Kennedy (2001). In particular we show that the severe size distortions observed by Elder and Kennedy are due to the presence of nuisance parameters in the data generation process, but ignored in the test regression. As is shown in a small Monte Carlo exercise, correct size for the statistics is obtained when an adequate test regression is considered.

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File URL: http://www.accessecon.com/pubs/EB/2004/Volume3/EB-04C40002A.pdf
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Publisher Info
Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 3 (2004)
Issue (Month): 12 ()
Pages: 1-7
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:3:y:2004:i:12:p:1-7

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Related research
Keywords: asymptotically invariant tests;

Find related papers by JEL classification:
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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This page was last updated on 2010-1-5.

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