The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests
In this paper the author uses numerical techniques to investigate the finite sample porperties of data-based approaches to selecting the lag truncation order in the context of the augmented Dickey-Fuller unit root test in a general autoregressice first-order integrated moving-average model.
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Volume (Year): 62 (2000)
Issue (Month): 2 (May)
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