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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: 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. Copyright 2005 Blackwell Publishing Ltd.

Date: 2005
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Working Paper: EXAMINATION OF SOME MORE POWERFUL MODIFICATIONS OF THE DICKEY- FULLER TEST (2003) Downloads
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