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Lag optimisation and finite-sample size distortion of unit root tests

  • Cook, Steven
  • Manning, Neil
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    File URL: http://www.sciencedirect.com/science/article/B6V84-4CDHJB4-3/2/47960000d38ebaceef08ef7b9a84c1cb
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 84 (2004)
    Issue (Month): 2 (August)
    Pages: 267-274

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    Handle: RePEc:eee:ecolet:v:84:y:2004:i:2:p:267-274
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
    2. Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
    3. G. William Schwert, 1988. "Tests For Unit Roots: A Monte Carlo Investigation," NBER Technical Working Papers 0073, National Bureau of Economic Research, Inc.
    4. Cheung, Yin-Wong & Lai, Kon S, 1995. "Lag Order and Critical Values of a Modified Dickey-Fuller Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(3), pages 411-19, August.
    5. Cheung, Yin-Wong & Lai, Kon S, 1995. "Lag Order and Critical Values of the Augmented Dickey-Fuller Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 277-80, July.
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