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
• DOI: 10.1016/s0167-9473(98)00100-5

✦ 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.