Finite-sample critical values of the Augmented Dickey-Fuller statistic: a note on lag order
The lag order dependence of finite-sample Augmented Dickey-Fuller (ADF) critical values is examined via a comparison of the response surface specifications of Cheung and Lai (1995) and MacKinnon (1991). Theoretical, Monte Carlo and empirical evidence show failure to incorporate lag order effects reduces the power of the ADF test to reject the unit root null hypothesis. ?
Volume (Year): 6 (2001)
Issue (Month): 2 (September)
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- 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.
- Schwert, G William, 1989. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(2), pages 147-159, April.
- G. William Schwert, 1988. "Tests For Unit Roots: A Monte Carlo Investigation," NBER Technical Working Papers 0073, National Bureau of Economic Research, Inc.
- Ng, Serena, 1995. "Testing for unit roots in flow data sampled at different frequencies," Economics Letters, Elsevier, vol. 47(3-4), pages 237-242, March.
- Harris, R. I. D., 1992. "Testing for unit roots using the augmented Dickey-Fuller test : Some issues relating to the size, power and the lag structure of the test," Economics Letters, Elsevier, vol. 38(4), pages 381-386, April. Full references (including those not matched with items on IDEAS)
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