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F-tests for lag length selection in augmented Dickey-Fuller regressions: some Monte Carlo evidence

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  • Christian Weber

Abstract

This paper investigates the empirical performance of sequential f-tests as a criterion for selecting the lag length in Augmented Dickey-Fuller regressions. This criterion performs approximately as well as the AIC and a criterion based on eliminating residual autocorrelation. However, no single criterion is clearly superior to the other two.

Suggested Citation

  • Christian Weber, 2001. "F-tests for lag length selection in augmented Dickey-Fuller regressions: some Monte Carlo evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 8(7), pages 455-458.
    • Handle: RePEc:taf:apeclt:v:8:y:2001:i:7:p:455-458
    DOI: 10.1080/13504850010004027
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    1. 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.
    2. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    3. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
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