More on F versus t tests for unit roots when there is no trend
Rodrigues and Tremayne (2004) interpret a problematic size result in a Monte Carlo study reported in Elder and Kennedy (2001) as arising from Elder and Kennedy's use of an inappropriate testing equation. In expositing their result, Rodrigues and Tremayne inadvertently lead readers to believe that the Elder and Kennedy conclusion is in error. We clarify the Rodrigues and Tremayne contribution, putting the validity of the Elder and Kennedy result in proper perspective and underlining the important role played by the starting value in Monte Carlo analyses.
Volume (Year): 3 (2004)
Issue (Month): 37 ()
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- repec:ebl:ecbull:v:3:y:2004:i:12:p:1-7 is not listed on IDEAS
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- repec:ebl:ecbull:v:3:y:2004:i:11:p:1-9 is not listed on IDEAS
- Peter E. Kennedy & John Elder, 2001. "F versus t tests for unit roots," Economics Bulletin, AccessEcon, vol. 3(3), pages 1-6.
- Ulrich K. M¸ller & Graham Elliott, 2003. "Tests for Unit Roots and the Initial Condition," Econometrica, Econometric Society, vol. 71(4), pages 1269-1286, July.
- Paulo M. M. Rodrigues & Andrew Tremayne, 2004. "F versus t tests for unit roots: a comment," Economics Bulletin, AccessEcon, vol. 3(12), pages 1-7.
- Steven Cook, 2004. "On the finite-sample power of modified Dickey-Fuller tests: The role of the initial condition," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-9.
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