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

✍ Scribed by T. Oke; J. Lyhagen


Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
103 KB
Volume
30
Category
Article
ISSN
0167-9473

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✦ Synopsis


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 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 e ect on the behaviour of the subsequent tests for unit root.


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