Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation
1999 (English)In: Computational Statistics & Data Analysis, ISSN 0167-9473, Vol. 30, no 4, 457-469 p.Article in journal (Refereed) Published
In the augmented Dickey-Fuller (ADF) regression one usually decides on the level of the "augmentation" prior to the performing of unit root test. This is a purely data-dependent method that uses either some information criteria or some sequential test of significance on parameter estimates. Contrary to earlier beliefs, our analyses reveal that the presence and/or absence of a drift and a time trend in the data generating process has a remarkable effect on the behaviour of the subsequent tests for unit root.
Place, publisher, year, edition, pages
1999. Vol. 30, no 4, 457-469 p.
information criteria, pre-test, unit root tests, autoregressive time-series, model, order, selection
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:uu:diva-60275DOI: 10.1016/S0167-9473(98)00100-5ISI: 000080918600008OAI: oai:DiVA.org:uu-60275DiVA: diva2:88186
Addresses: Univ Uppsala, Dept Stat, S-75120 Uppsala, Sweden. Stockholm Sch Econ, Dept Econ Stat, S-11383 Stockholm, Sweden.2008-10-172008-10-172012-05-02Bibliographically approved