Unusual Behaviour of Dickey-Fuller Tests in the Presence of Trend Misspecification: Comment
AbstractIn this paper we present explanation on the phenomenon pointed out in Cook and Manning (2002) on the unusual behaviour of the Dickey-Fuller test in the presence of trend misspecification. It appears that the rejection frequency of the unit root tests in the presence of trend misspecification is very sensitive to the number of the initial observations that need to be discarded. Based on the evidence from the Monte Carlo simulations, we show that for the DGP in Cook and Manning (2002), the unusual behaviour of the Dickey-Fuller test disappears as the number of the discarded initial observations becomes sufficiently large.
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 InfoPaper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 389.
Length: 7 p.
Date of creation: 2003
Date of revision:
Dickey-Fuller test; unit root hypothesis testing;
Other versions of this item:
- Boriss Siliverstovs, 2003. "Unusual behaviour of Dickey-Fuller tests in the presence of trend misspecification: comment," Economics Bulletin, AccessEcon, vol. 3(30), pages 1-7.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-07-18 (All new papers)
- NEP-ECM-2004-07-18 (Econometrics)
- NEP-ETS-2004-07-18 (Econometric Time Series)
- NEP-FIN-2004-07-18 (Finance)
- NEP-IFN-2004-01-05 (International Finance)
- NEP-MAC-2004-01-05 (Macroeconomics)
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bibliothek).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.