Correcting size distortion of the Dickey-Fuller test via recursive mean adjustment

Steven Cook

Statistics & Probability Letters, 2002, vol. 60, issue 1, 75-79

Abstract: Leybourne et al. (J. Econom. 87 (1998) 191) have shown the Dickey-Fuller (J. Amer. Statist. Assoc. 74 (1979) 427) unit root test to suffer from severe oversizing in the presence of level breaks. In this paper it is shown that recursive mean adjustment can correct this distortion, even for large breaks.

Keywords: Recursive; mean; adjustment; Unit; root; test; Structural; breaks; Monte; Carlo; methods (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (8)

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