Finite-sample critical values of the Augmented Dickey-Fuller statistic: a note on lag order
AbstractThe lag order dependence of finite-sample Augmented Dickey-Fuller (ADF) critical values is examined via a comparison of the response surface specifications of Cheung and Lai (1995) and MacKinnon (1991). Theoretical, Monte Carlo and empirical evidence show failure to incorporate lag order effects reduces the power of the ADF test to reject the unit root null hypothesis. ?
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Economic Issues in its journal Economic Issues.
Volume (Year): 6 (2001)
Issue (Month): 2 (September)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Schwert, G William, 1989.
"Tests for Unit Roots: A Monte Carlo Investigation,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 7(2), pages 147-59, April.
- Steven Cook, 2003. "The stylized approach to unit root testing: Neglected contributions and the cost of simplicity," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(3), pages 267-272.
- Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dan Wheatley).
If references are entirely missing, you can add them using this form.