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.
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|Date of creation:||1994|
|Date of revision:|
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