The Behaviour of Dickey Fuller test in the case of noisy data: to what extent we can trust the outcome

Stephen Hall () and Sahar S. Qaqeesh ()

No 09/18, Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester

Abstract: We examine the behaviour of Dickey Fuller test (DF) in the case of noisy data using Monte Carlo simulation. The findings show clearly that the size distortion of DF test becomes larger as the noise increases in the data.

Keywords: Hypothesis testing; Unit root test; Monte Carlo Analysis. (search for similar items in EconPapers)
JEL-codes: C01 C12 C15 (search for similar items in EconPapers)
Date: 2009-09
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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