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On the size of the DF-GLS test

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  • Dimitrios Vougas

Abstract

Using Monte Carlo simulation, the size of the DF-GLS test is examined when there is a neglected level or trend break under the null hypothesis. Unlike the original DF test, the DF-GLS test has size which is not distorted/inflated.

Suggested Citation

  • Dimitrios Vougas, 2008. "On the size of the DF-GLS test," Applied Economics Letters, Taylor & Francis Journals, vol. 15(10), pages 777-780.
  • Handle: RePEc:taf:apeclt:v:15:y:2008:i:10:p:777-780
    DOI: 10.1080/13504850600749115
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    Cited by:

    1. Aviral Tiwari & Muhammad Shahbaz, 2014. "Revisiting Purchasing Power Parity for India using threshold cointegration and nonlinear unit root test," Economic Change and Restructuring, Springer, vol. 47(2), pages 117-133, May.
    2. Lau, Evan & Puah, Chin-Hong & Oh, Swee-Ling & Lo, Yan-Ching, 2008. "Causality between White Pepper and Black Pepper: Evidence from Six Markets in Sarawak," MPRA Paper 6552, University Library of Munich, Germany.

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