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Some small sample properties of tests for structural stability in a simultaneous equation

✍ Scribed by Kazuhiro Ohtani

Book ID
116100116
Publisher
Elsevier Science
Year
1986
Tongue
English
Weight
271 KB
Volume
22
Category
Article
ISSN
0165-1765

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πŸ“œ SIMILAR VOLUMES

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 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