The Behaviour of Dickey Fuller test in the case of noisy data: to what extent we can trust the outcome
We examine the behaviour of Dickey Fuller test (DF) in the case of noisy data using Monte Carlo simulation. The findings show clearly that the size distortion of DF test becomes larger as the noise increases in the data.
|Date of creation:||Sep 2009|
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- Monta s, Antonio & Reyes, Marcelo, 1998. "Effect Of A Shift In The Trend Function On Dickey Fuller Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 14(03), pages 355-363, June.
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