IDEAS home Printed from https://ideas.repec.org/a/bla/obuest/v62y2000i2p293-304.html
   My bibliography  Save this article

The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests

Author

Listed:
  • Taylor, A M Robert

Abstract

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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Taylor, A M Robert, 2000. " The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(2), pages 293-304, May.
  • Handle: RePEc:bla:obuest:v:62:y:2000:i:2:p:293-304
    as

    Download full text from publisher

    File URL: http://www.blackwell-synergy.com/servlet/useragent?func=synergy&synergyAction=showTOC&journalCode=obes&volume=62&issue=2&year=2000&part=null
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Burridge, P. & Gjorstrup, F. & Robert Taylor, A. M., 2004. "Robust Inference on Seasonal Unit Roots via a Bootstrap Applied to OECD Macroeconomic Series," Working Papers 04/08, Department of Economics, City University London.
    2. Artur Silva Lopes, 2006. "Deterministic seasonality in Dickey–Fuller tests: should we care?," Empirical Economics, Springer, vol. 31(1), pages 165-182, March.
    3. Hari S. Luitel & Gerry J. Mahar, 2016. "Algebra of Integrated Time Series: Evidence from Unit Root Analysis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 22(2), pages 199-209, May.
    4. B. da Silva Lopes, Artur C., 2005. "Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests," MPRA Paper 125, University Library of Munich, Germany, revised May 2006.
    5. Artur C. B. Da Silva Lopes, 2008. "Finite Sample Effects Of Pure Seasonal Mean Shifts On Dickey-Fuller Tests: A Simulation Study," Manchester School, University of Manchester, vol. 76(5), pages 528-538, September.

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:62:y:2000:i:2:p:293-304. 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). General contact details of provider: http://edirc.repec.org/data/sfeixuk.html .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.