Dickey–Fuller, Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series

Kosuke Oya and Hiro Toda

Journal of Time Series Analysis, 1998, vol. 19, issue 3, 325-347

Abstract: In this paper we investigate (augmented) Dickey–Fuller (DF) and Lagrange multiplier (LM) type unit root tests for autoregressive time series through comprehensive Monte Carlo simulations. We consider two sorts of null and alternative hypotheses: a unit root without drift versus level stationarity and a unit root with drift versus trend stationarity. The DF‐type coef ficient tests are found to show the best overall performance in both cases, at least if the sample size is sufficiently large. How ever, it is also found that the DF and LM tests are roughly complementary with regard to their finite‐sample power. We therefore consider combining these two types of unit root tests to obtain (ad hoc‘but’) ‘robust’ test procedures. Critical values for the proposed tests are provided

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1111/1467-9892.00095

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:19:y:1998:i:3:p:325-347

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().