RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES

Jesus Gonzalo and Tae Hwy Lee

Journal of Time Series Analysis, 1996, vol. 17, issue 1, 37-47

Abstract: Abstract. This paper shows numerically that the lack of power and size distortions of the Dickey‐Fuller type tests for unit roots (very well documented in the unit root literature) are similar to and in many situations even smaller than the lack of power and size distortions of the standard Student t tests for stationary roots of an autoregressive model.

Date: 1996
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Citations: View citations in EconPapers (9)

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https://doi.org/10.1111/j.1467-9892.1996.tb00263.x

Related works:
Working Paper: Relative Power of t Type Tests of Stationary and Unit Root Processes (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:17:y:1996:i:1:p:37-47

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