𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The finite-sample performance of robust unit root tests

✍ Scribed by Kai Carstensen


Book ID
105660056
Publisher
Springer-Verlag
Year
2003
Tongue
English
Weight
780 KB
Volume
44
Category
Article
ISSN
0932-5026

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


On the Power of GLS-Type Unit Root Tests
✍ Peter Burridge; A. M. Robert Taylor πŸ“‚ Article πŸ“… 2000 πŸ› John Wiley and Sons 🌐 English βš– 339 KB
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