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Finite-sample critical values of the Augmented Dickey-Fuller statistic: a note on lag order

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  • S Cook
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    Abstract

    The 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. ?

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    File URL: http://www.economicissues.org.uk/Files/2001/201cCook.pdf
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    Bibliographic Info

    Article provided by Economic Issues in its journal Economic Issues.

    Volume (Year): 6 (2001)
    Issue (Month): 2 (September)
    Pages: 31-46

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    Handle: RePEc:eis:articl:201cook

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    Postal: Burton Street, Nottingham, NG1 4BU
    Web page: http://www.economicissues.org.uk
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    1. 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.
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    Cited by:
    1. 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.
    2. Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November.

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