EXAMINATION OF SOME MORE POWERFUL MODIFICATIONS OF THE DICKEY- FULLER TEST

Stephen Leybourne (), Paul Newbold and Tae-Hwan Kim ()
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Paul Newbold: Nottingham

Econometrics from EconWPA

Abstract: 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.

JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: Written 2003-11-17
Note: Type of Document -
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Related works:
Journal Article: Examination of Some More Powerful Modifications of the Dickey-Fuller Test (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0311007

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