Examination of some more powerful modifications of the Dickey-Fuller test

被引：48

作者：

Leybourne, S ^{[1
]}

Kim, TH ^{[1
]}

Newbold, P ^{[1
]}

机构：

[1] Univ Nottingham, Nottingham NG7 2RD, England

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2005年 / 26卷 / 03期

关键词：

Dickey-Fuller test; MAX test; weighted symmetric estimation; recursive and GLS detrending; power comparison;

D O I：

10.1111/j.1467-9892.2004.00406.x

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Although the t-ratio variant of the Dickey-Fuller test is the most commonly applied unit-root test in practical applications, it has been known for some time that readily implementable, more powerful modifications are available. We explore the large-sample properties of five of these modified tests, and the small-sample properties of these five plus six hybrids. As a result of this study we recommend two particular test procedures.

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收藏

页码：355 / 369

页数：15

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