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The balance between size and power in Dickey-Fuller tests with data-dependent rules for the choice of truncation lag

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Author Info
Agiakloglou, Christos
Newbold, Paul
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 52 (1996)
Issue (Month): 3 (September)
Pages: 229-234
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Handle: RePEc:eee:ecolet:v:52:y:1996:i:3:p:229-234

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  2. Morten Ørregaard Nielsen, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 1175, Queen's University, Department of Economics. [Downloadable!]
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  3. Jaroslava Hlouskova & Martin Wagner, 2005. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Diskussionsschriften dp0503, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
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  4. Ana Katarina Campêlo & Francisco Cribari-Neto, 2003. "Inflation Inertia and Inliers: The Case of Brazil," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 57(4), April. [Downloadable!]
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