The behaviour of Dickey-Fuller and Phillips-Perron tests under the alternative hypothesis
The two most commonly applied tests of the null hypothesis of a unit autoregres-sive root in a time series generating process are examined. Simple theoretical calculations, confirmed by simulation evidence, suggest that the probabilities of rejection of the null hy-pothesis of those tests can differ substantially when the true generating process is a stationary second-order autoregression.
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Volume (Year): 2 (1999)
Issue (Month): 1 ()
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