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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.
(This abstract was borrowed from another version of this item.)

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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    Cited by:

    1. 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.
    2. 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.
    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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