Examination of Some More Powerful Modifications of the Dickey-Fuller Test
Although the t-ratio variant of the Dickey-Fuller test is the most commonly applied unit-root test in practical applications, it has been known for some time that readily implementable, more powerful modifications are available. We explore the large-sample properties of five of these modified tests, and the small-sample properties of these five plus six hybrids. As a result of this study we recommend two particular test procedures. Copyright 2005 Blackwell Publishing Ltd.
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Volume (Year): 26 (2005)
Issue (Month): 3 (05)
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