Relative power of t type tests of stationary and unit root processes
AbstractThis paper shows numerically that the lack of power and size distortions of the Dickey-Fuller type tests for unit roots (very well documented in the unit root literature) are similar to and in many situations even smaller than the lack of power and size distortions of th standard Student t tests for stationary roots of an autoregressive model.
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Bibliographic InfoPaper provided by Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/747.
Length: 49 p.
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Dickey-Fuller tests; Student t tests; Unit roots;
Other versions of this item:
- Gonzalo, J. & Lee, T.H., 1995. "Relative Power of t Type Tests of Stationary and Unit Root Processes," Papers 36, Boston University - Department of Economics.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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- Gonzalo, Jesus & Lee, Tae-Hwy, 1998.
"Pitfalls in testing for long run relationships,"
Journal of Econometrics,
Elsevier, vol. 86(1), pages 129-154, June.
- Gonzalo, Jesús & Lee, Tae-Hwy, . "Pitfalls in testing for long run relationships," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/753, Universidad Carlos III de Madrid.
- Gonzalo, J. & Lee, T.H., 1995. "Pitfalls in Testing for Long Run Relationships," Papers 38, Boston University - Department of Economics.
- Jürgen Wolters & Uwe Hassler, 2006.
"Unit root testing,"
AStA Advances in Statistical Analysis,
Springer, vol. 90(1), pages 43-58, March.
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