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The balance between size and power in Dickey-Fuller tests with data-dependent rules for the choice of truncation lag

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  • Agiakloglou, Christos
  • Newbold, Paul

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  • Agiakloglou, Christos & Newbold, Paul, 1996. "The balance between size and power in Dickey-Fuller tests with data-dependent rules for the choice of truncation lag," Economics Letters, Elsevier, vol. 52(3), pages 229-234, September.
  • Handle: RePEc:eee:ecolet:v:52:y:1996:i:3:p:229-234
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    References listed on IDEAS

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    1. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
    2. King, Robert G. & Plosser, Charles I. & Stock, James H. & Watson, Mark W., 1991. "Stochastic Trends and Economic Fluctuations," American Economic Review, American Economic Association, vol. 81(4), pages 819-840, September.
    3. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    4. Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 461-470, October.
    5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    Cited by:

    1. Nielsen, Morten Ørregaard, 2009. "A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1515-1544, December.
    2. Haug Alfred A & Siklos Pierre L, 2006. "The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-34, December.
    3. Alfred A. Haug & Pierre L. Siklos, 2002. "The Term Spread International Evidence of Non-Linear Adjustment," Working Papers 2002_08, York University, Department of Economics, revised Jul 2004.
    4. Zhang, Chuanguo & Qu, Xuqin, 2015. "The effect of global oil price shocks on China's agricultural commodities," Energy Economics, Elsevier, vol. 51(C), pages 354-364.
    5. Morten Ørregaard Nielsen, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 1175, Queen's University, Department of Economics.
    6. Campêlo, Ana Katarina & Cribari-Neto, Francisco, 2003. "Inflation Inertia and Inliers: The Case of Brazil," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 57(4), October.
    7. Jaroslava Hlouskova & Martin Wagner, 2006. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Econometric Reviews, Taylor & Francis Journals, vol. 25(1), pages 85-116.
    8. Lütkepohl, Helmut & Saikkonen, Pentti, 1997. "Order selection in testing for the cointegrating rank of a VAR process," SFB 373 Discussion Papers 1997,93, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    9. Paul Newbold & Tony Rayner & Neil Kellard, 2000. "Long-Run Drift, Co-Movement and Persistence in Real Wheat and Maize Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 51(1), pages 106-121.
    10. Newbold, Paul & Leybourne, Stephen & Wohar, Mark E., 2001. "Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993," Journal of Economics and Business, Elsevier, vol. 53(1), pages 85-102.
    11. Ricardo Quineche & Gabriel Rodríguez, 2015. "Data-Dependent Methods for the Lag Length Selection in Unit Root Tests with Structural Change," Documentos de Trabajo / Working Papers 2015-404, Departamento de Economía - Pontificia Universidad Católica del Perú.
    12. repec:gam:jecnmx:v:5:y:2017:i:2:p:17-:d:95932 is not listed on IDEAS

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