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Critical values of the augmented fractional Dickey–Fuller test

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  • Peter Sephton

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 35 (2008)
Issue (Month): 3 (November)
Pages: 437-450

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Handle: RePEc:spr:empeco:v:35:y:2008:i:3:p:437-450

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Related research

Keywords: Finite-sample critical value; Monte Carlo; Response surface; MARS; C12; C15; C22;

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References

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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.:
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  1. Claude Lopez & Christian J. Murray & David H. Papell, 2004. "State of the Art Unit Root Tests and Purchasing Power Parity," University of Cincinnati, Economics Working Papers Series 2004-04, University of Cincinnati, Department of Economics.
  2. James G. MacKinnon, 1992. "Approximate Asymptotic Distribution Functions for Unit Roots and Cointegration Tests," Working Papers 861, Queen's University, Department of Economics.
  3. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
  4. S Cook, 2001. "Finite-sample critical values of the Augmented Dickey-Fuller statistic: a note on lag order," Economic Issues Journal Articles, Economic Issues, vol. 6(2), pages 31-46, September.
  5. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "Testing I(1) against I(d) alternatives in the presence of deteministic components," Economics Working Papers 957, Department of Economics and Business, Universitat Pompeu Fabra.
  6. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September.
  7. Cheung, Yin-Wong & Lai, Kon S, 1995. "Lag Order and Critical Values of the Augmented Dickey-Fuller Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 277-80, July.
  8. Granger, Clive W J & Hallman, Jeffrey J, 1991. "Long Memory Series with Attractors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 53(1), pages 11-26, February.
  9. Serena Ng & Pierre Perron, 2001. "A Note on the Selection of Time Series Models," Boston College Working Papers in Economics 500, Boston College Department of Economics.
  10. James G. MacKinnon, 1995. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Working Papers 918, Queen's University, Department of Economics.
  11. Sephton, Peter S., 1995. "Response surface estimates of the KPSS stationarity test," Economics Letters, Elsevier, vol. 47(3-4), pages 255-261, March.
  12. James G. MacKinnon, 2001. "Computing Numerical Distribution Functions in Econometrics," Working Papers 1037, Queen's University, Department of Economics.
  13. Ignacio N Lobato & Carlos Velasco, 2007. "Efficient Wald Tests for Fractional Unit Roots," Econometrica, Econometric Society, vol. 75(2), pages 575-589, 03.
  14. Jushan Bai & Pierre Perron, 2003. "Critical values for multiple structural change tests," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 72-78, 06.
  15. Harvey, David I. & van Dijk, Dick, 2006. "Sample size, lag order and critical values of seasonal unit root tests," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2734-2751, June.
  16. Zhang H. & Yu C-Y. & Zhu H. & Shi J., 2003. "Identification of Linear Directions in Multivariate Adaptive Spline Models," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 369-376, January.
  17. James G. MacKinnon & Alfred A. Haug & Leo Michelis, 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Working Papers 1996_07, York University, Department of Economics.
  18. Presno, Maria Jose & Lopez, Ana Jesus, 2003. "Response surface estimates of stationarity tests with a structural break," Economics Letters, Elsevier, vol. 78(3), pages 395-399, March.
  19. Cheung, Yin-Wong & Lai, Kon S, 1995. "Lag Order and Critical Values of a Modified Dickey-Fuller Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(3), pages 411-19, August.
  20. Sephton, Peter S, 1994. "Cointegration Tests on MARS," Computational Economics, Society for Computational Economics, vol. 7(1), pages 23-35, February.
  21. De Gooijer, Jan G. & Ray, Bonnie K. & Krager, Horst, 1998. "Forecasting exchange rates using TSMARS," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 513-534, June.
  22. Peter Sephton, 2005. "Forecasting inflation using the term structure and MARS," Applied Economics Letters, Taylor & Francis Journals, vol. 12(4), pages 199-202.
  23. P. S. Sephton, 2010. "Unit roots and purchasing power parity: another kick at the can," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3439-3453.
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Cited by:
  1. Peter Sephton, 2009. "Critical values for the augmented efficient Wald test for fractional unit roots," Empirical Economics, Springer, vol. 37(3), pages 615-626, December.

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