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LM tests for unit roots in the presence of missing observations: small sample evidence

✍ Scribed by Hiro Y. Toda; C.R. McKenzie


Book ID
108453801
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
106 KB
Volume
48
Category
Article
ISSN
0378-4754

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πŸ“œ SIMILAR VOLUMES


Small-sample properties of some tests fo
✍ T. Oke; J. Lyhagen πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 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 signiΓΏcance on parameter estimates. Contrary