The behaviour of Dickey-Fuller and Phillips-Perron tests under the alternative hypothesis
AbstractThe two most commonly applied tests of the null hypothesis of a unit autoregres-sive root in a time series generating process are examined. Simple theoretical calculations, confirmed by simulation evidence, suggest that the probabilities of rejection of the null hy-pothesis of those tests can differ substantially when the true generating process is a stationary second-order autoregression.
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Econometrics Journal.
Volume (Year): 2 (1999)
Issue (Month): 1 ()
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"Το Υπόδειγμα Τυχαίου Περιπάτου Με Αυτοπαλίνδρομα Σφάλματα
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"Le comportement des taux de change réels européens de la fin Bretton Woods à l’adoption de l’euro
[The behavior of European real exchange rates from the Bretton Woods system end to the adopt," MPRA Paper 49502, University Library of Munich, Germany.
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