Optimal Lag Length in Estimating Dickey-Fuller Statistics: An Empirical Note
The purpose of this note is to empirically demonstrate that the choice of summary statistic used in specifying the Dickey-Fuller test equation can determine the outcome of a test for stationarity. A reasonable empirical practice would be to evaluate stationarity over different lagged specifications of the Dickey-Fuller test equation.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1994|
|Contact details of provider:|| Postal: THE UNIVERSITY OF CALGARY, DEPARTMENT OF ECONOMICS, 2500 UNIVERSITY DRIVE N.W. CALGARY ALBERTA CANADA T2N 1N4.|
Phone: (403) 220-5857
Fax: (403) 282-5262
Web page: http://econ.ucalgary.ca/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:fth:calgar:9405. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)
If references are entirely missing, you can add them using this form.