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Optimal Lag Length in Estimating Dickey-Fuller Statistics: An Empirical Note

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  • Gordon, D.V.

Abstract

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.
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Suggested Citation

  • Gordon, D.V., 1994. "Optimal Lag Length in Estimating Dickey-Fuller Statistics: An Empirical Note," Papers 9405, Calgary - Department of Economics.
  • Handle: RePEc:fth:calgar:9405
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    References listed on IDEAS

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    1. 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.
    2. W. F. Callander & Charles F. Sarle, 1947. "The Bureau of Agricultural Economics Program in Enumerative Sampling," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 29(1), pages 233-236.
    3. Christ, Carl F, 1983. "The Founding of the Econometric Society and Econometrica," Econometrica, Econometric Society, vol. 51(1), pages 3-6, January.
    4. G. F. Warren, 1924. "An Attempt to Forecast the Future Trend of Farm Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 6(1), pages 28-37.
    5. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    6. Christ, Carl F, 1985. "Early Progress in Estimating Quantitative Economic Relationships in America," American Economic Review, American Economic Association, vol. 75(6), pages 39-52, December.
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    Cited by:

    1. Xiaming Liu & Haiyan Song & Peter Romilly, 1997. "An empirical investigation of the causal relationship between openness and economic growth in China," Applied Economics, Taylor & Francis Journals, vol. 29(12), pages 1679-1686.
    2. Andrea Petrella & Sandro Sapio, 2010. "No PUN intended: A time series analysis of the Italian day-ahead electricity prices," RSCAS Working Papers 2010/03, European University Institute.
    3. Petrella, Andrea & Sapio, Alessandro, 2012. "Assessing the impact of forward trading, retail liberalization, and white certificates on the Italian wholesale electricity prices," Energy Policy, Elsevier, vol. 40(C), pages 307-317.

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    Keywords

    econometrics ; evaluation;

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