Examination of Some More Powerful Modifications of the Dickey–Fuller Test

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

Journal of Time Series Analysis, 2005, vol. 26, issue 3, 355-369

Abstract: 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.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:26:y:2005:i:3:p:355-369

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