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Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
1999 (English)In: Computational Statistics & Data Analysis, ISSN 0167-9473, E-ISSN 1872-7352, Vol. 30, no 4, 457-469 p.Article in journal (Refereed) Published
Abstract [en]

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.
Keyword [en]
information criteria, pre-test, unit root tests, autoregressive time-series, model, order, selection
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-60275DOI: 10.1016/S0167-9473(98)00100-5ISI: 000080918600008OAI: oai:DiVA.org:uu-60275DiVA: diva2:88186
Note
Addresses: Univ Uppsala, Dept Stat, S-75120 Uppsala, Sweden. Stockholm Sch Econ, Dept Econ Stat, S-11383 Stockholm, Sweden.Available from: 2008-10-17 Created: 2008-10-17 Last updated: 2017-12-01Bibliographically approved

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Lyhagen, Johan

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