Critical values for the augmented efficient Wald test for fractional unit roots

Small-sample properties of some tests fo

Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation

✍ T. Oke; J. Lyhagen 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 103 KB

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 signiÿcance on parameter estimates. Contrary