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F versus t tests for unit roots: a comment

Author

Listed:
  • Paulo M. M. Rodrigues

    (Faculty of Economics, University of Algarve)

  • Andrew Tremayne

    (Department of Economics, University of York)

Abstract

In this note we provide justification for some Monte Carlo results presented by Elder and Kennedy (2001). In particular we show that the severe size distortions observed by Elder and Kennedy are due to the presence of nuisance parameters in the data generation process, but ignored in the test regression. As is shown in a small Monte Carlo exercise, correct size for the statistics is obtained when an adequate test regression is considered.

Suggested Citation

  • 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.
    • Handle: RePEc:ebl:ecbull:eb-04c40002
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    File URL: http://www.accessecon.com/pubs/EB/2004/Volume3/EB-04C40002A.pdf
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    Cited by:

    1. repec:ebl:ecbull:v:3:y:2004:i:37:p:1-6 is not listed on IDEAS
    2. Peter E. Kennedy & John Elder, 2004. "More on F versus t tests for unit roots when there is no trend," Economics Bulletin, AccessEcon, vol. 3(37), pages 1-6.

    More about this item

    Keywords

    asymptotically invariant tests;

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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