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Testing for unit roots using the augmented Dickey-Fuller test : Some issues relating to the size, power and the lag structure of the test

Citations

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Cited by:

  1. Tamayo, Adrian, 2016. "Determining Statistical Pattern on the Drug-Related Killing in Philippines Using ARIMA and Poisson Techniques," MPRA Paper 72518, University Library of Munich, Germany.
  2. Reed, W. Robert, 2015. "Testing for unit roots with cointegrated data," Economics Discussion Papers 2015-57, Kiel Institute for the World Economy.
  3. Manqoba Ntshakala & Laurence Harris, 2018. "The information content of the yield spread about future inflation in South Africa," WIDER Working Paper Series wp-2018-63, World Institute for Development Economic Research (UNU-WIDER).
  4. Wesam Salah Alaloul & Muhammad Ali Musarat & Muhammad Babar Ali Rabbani & Qaiser Iqbal & Ahsen Maqsoom & Waqas Farooq, 2021. "Construction Sector Contribution to Economic Stability: Malaysian GDP Distribution," Sustainability, MDPI, vol. 13(9), pages 1-26, April.
  5. Hari S. Luitel & Gerry J. Mahar, 2016. "Algebra of Integrated Time Series: Evidence from Unit Root Analysis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 22(2), pages 199-209, May.
  6. Kim, Hyeongwoo & Moh, Young-Kyu, 2010. "A century of purchasing power parity confirmed: The role of nonlinearity," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1398-1405, November.
  7. Bibhuti Sarker & Farid Khan, 2020. "Nexus between foreign direct investment and economic growth in Bangladesh: an augmented autoregressive distributed lag bounds testing approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-18, December.
  8. Soundariya G. & Treesa Aleena David & Suresh G., 2025. "Nexus Between Interest Rate Risk and Economic Value of Equity of Banks," Global Business Review, International Management Institute, vol. 26(4), pages 855-875, August.
  9. Wang, Xi & Bao, Si & Chen, Jingchao, 2017. "High-frequency stock linkage and multi-dimensional stationary processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 70-83.
  10. Kim, Hyeongwoo & Thompson, Henry, 2009. "Factor Proportions Wages in a Structural Vector Autoregression," MPRA Paper 17798, University Library of Munich, Germany.
  11. repec:bcp:journl:v:4:y:2020:i:8:p:671-675 is not listed on IDEAS
  12. W. Robert Reed, 2016. "Univariate Unit Root Tests Perform Poorly When Data Are Cointegrated," Working Papers in Economics 16/01, University of Canterbury, Department of Economics and Finance.
  13. Jingping Zuo & Cuncun Qian, 2025. "Assessment for the response and uncertainty of energy poverty to climate extremes in China," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 27(7), pages 16135-16153, July.
  14. Gakuru, Elias & Yang, Shaohua & Yang, Ling & Wang, Yuting & Adegboyo, Olufemi Samuel & Ndayambaje, J․D & Hussain, Chaudhary Saad Ullah, 2025. "Asymmetric nexus of green energy inclusion and green trade spillover effects on economic growth: Insights from China's experience for EAC-6," Economic Analysis and Policy, Elsevier, vol. 86(C), pages 475-493.
  15. Strauß, Hubert, 2002. "Multivariate Cointegration Analysis of Aggregate Exports: Empirical Evidence for the United States, Canada, and Germany," Kiel Working Papers 1101, Kiel Institute for the World Economy.
  16. Peng, Kang-Lin & Wu, Chih-Hung & Lin, Pearl M.C. & Kou, IokTeng Esther, 2023. "Investor sentiment in the tourism stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
  17. W. Robert Reed, 2014. "Unit Root Tests, Size Distortions, and Cointegrated Data," Working Papers in Economics 14/28, University of Canterbury, Department of Economics and Finance.
  18. Jean Pierre Namahoro & Wu Qiaosheng & Deyun Wang, 2025. "Mineral rents, renewable energy, and real growth nexus: evidence from top-rich countries in minerals across East-Central African regions," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 38(2), pages 359-375, June.
  19. Ventosa-Santaulária, Daniel & Gómez-Zaldívar, Manuel, 2009. "Broken mean stationarity and the validity of the Dickey-Fuller test: the case of controlled inflation," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
  20. Gaolu Zou, 2017. "Trend Changes in Stock Prices of Petrochemical Firms in the A-Share Market, China," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 3(8), pages 149-156, 08-2017.
  21. Izabela Pruchnicka-Grabias, 2021. "The Relationship between Gold and Brent Crude Oil Prices: An Unrestricted Vector Autoregression Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 276-282.
  22. Kiohos, Apostolos & Stoupos, Nikolaos, 2025. "Monetary alignment or divergence? - Exchange rates and economic dynamics in non-euro European countries," The Journal of Economic Asymmetries, Elsevier, vol. 32(C).
  23. Sismeiro, Catarina & Mizik, Natalie & Bucklin, Randolph E., 2012. "Modeling coexisting business scenarios with time-series panel data: A dynamics-based segmentation approach," International Journal of Research in Marketing, Elsevier, vol. 29(2), pages 134-147.
  24. Montañés, Antonio & Reyes, Marcelo, 2000. "Structural breaks, unit roots and methods for removing the autocorrelation pattern," Statistics & Probability Letters, Elsevier, vol. 48(4), pages 401-409, July.
  25. Namahoro, Jean Pierre & Wu, Qiaosheng & Hui, Su, 2023. "Asymmetric linkage between copper-cobalt productions and economic growth: Evidence from Republic Democratic of Congo," Resources Policy, Elsevier, vol. 83(C).
  26. Cheng, Ka Ming & Kim, Hyeongwoo & Thompson, Henry, 2009. "The Exchange Rate and US Tourism Balance of Trade," MPRA Paper 18318, University Library of Munich, Germany.
  27. Laurence Harris & Manqoba Ntshakala, 2018. "The information content of the yield spread about future inflation in South Africa," WIDER Working Paper Series 63, World Institute for Development Economic Research (UNU-WIDER).
  28. Ka Ming Cheng & Hyeongwoo Kim & Henry Thompson, 2011. "The US Tourism Trade Balance and Exchange Rate Shock," Auburn Economics Working Paper Series auwp2011-12, Department of Economics, Auburn University.
  29. S Cook, 2001. "Finite-sample critical values of the Augmented Dickey-Fuller statistic: a note on lag order," Economic Issues Journal Articles, Economic Issues, vol. 6(2), pages 31-46, September.
  30. Babak Zolghadr-Asli & Maedeh Enayati & Hamid Reza Pourghasemi & Mojtaba Naghdyzadegan Jahromi & John P. Tiefenbacher, 2021. "A linear/non-linear hybrid time-series model to investigate the depletion of inland water bodies," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 23(7), pages 10727-10742, July.
  31. Shu-Ling Chen & Hyeongwoo Kim, 2011. "Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets," International Economic Journal, Taylor & Francis Journals, vol. 25(2), pages 239-250.
  32. Schlitzer, Giuseppe, 1995. "Testing the stationarity of economic time series: further Monte Carlo evidence," Ricerche Economiche, Elsevier, vol. 49(2), pages 125-144, June.
  33. Sheraz, Muhammad & Sinha, Avik & Qin, Quande & Mumtaz, Muhammad Zubair, 2024. "The asymmetric nexus between energy transition and its drivers: New evidence from China," Energy, Elsevier, vol. 310(C).
  34. Yasir Khan & Taimoor Hassan & Cai Shukai & Hana Oubaih & Muhammad Nisar Khan & Jawed Kootwal & Ubaid Ur Rahman Rehimi, 2022. "The nexus between infrastructure development, economic growth, foreign direct investment, and trade: an empirical investigation from China’s regional trade data," SN Business & Economics, Springer, vol. 2(7), pages 1-31, July.
  35. Namahoro, Jean Pierre & Wu, Qiaosheng & Xiao, Haijun & Zhou, Na, 2021. "The asymmetric nexus of renewable energy consumption and economic growth: New evidence from Rwanda," Renewable Energy, Elsevier, vol. 174(C), pages 336-346.
  36. Kim, Hyeongwoo & Thompson, Henry, 2014. "Wages in a factor proportions model with energy input," Economic Modelling, Elsevier, vol. 36(C), pages 495-501.
  37. Muhammad Daniyal & Kassim Tawiah & Moiz Qureshi & Mohammad Haseeb & Killian Asampana Asosega & Mustafa Kamal & Masood ur Rehman, 2023. "An autoregressive distributed lag approach for estimating the nexus between CO2 emissions and economic determinants in Pakistan," PLOS ONE, Public Library of Science, vol. 18(5), pages 1-18, May.
  38. Burke, S. P., 1996. "Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type," Economics Letters, Elsevier, vol. 50(3), pages 315-321, March.
  39. Peter Farkas & Laszlo Matyas, 2015. "Testing for Unit Roots in Panel Data with Boundary Crossing Counts," CEU Working Papers 2015_5, Department of Economics, Central European University, revised 03 Nov 2015.
  40. Christos K. Filelis-Papadopoulos & Samuel N. Kirshner & Philip O’Reilly, 2025. "Sustainability with Limited Data: A Novel Predictive Analytics Approach for Forecasting CO2 Emissions," Information Systems Frontiers, Springer, vol. 27(3), pages 1227-1251, June.
  41. Ka Ming Cheng & Hyeongwoo Kim & Henry Thompson, 2013. "The Exchange Rate and US Tourism Trade, 1973–2007," Tourism Economics, , vol. 19(4), pages 883-896, August.
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