Lag Order and Critical Values of a Modified Dickey-Fuller Test
This study examines some finite-sample properties of a new modified Dickey-Fuller test, called the DF-GLS test, which has been shown to be more powerful than standard unit-root tests. The study shows that the lag order can significantly affect the critical values of the test. This points to the importance of correcting for the lag order effect in implementing the DF-GLS test. Approximate lag-adjusted, finite-sample critical values for the DF-GLS test are provided, which can be straightforwardly computed from response surface equations. Copyright 1995 by Blackwell Publishing Ltd
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 57 (1995)
Issue (Month): 3 (August)
|Contact details of provider:|| Postal: |
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049
More information through EDIRC
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0305-9049|
When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:57:y:1995:i:3:p:411-19. See general 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: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.