EconPapers    
Economics at your fingertips  
 

Lag Order and Critical Values of a Modified Dickey-Fuller Test

Yin-Wong Cheung and Kon S Lai

Oxford Bulletin of Economics and Statistics, 1995, vol. 57, issue 3, 411-19

Abstract: This study examines some finite-sample properties of a new modified Dickey-Fuller test, called the DF-GLS test, which has been shown to be more powerful than standard unit-root tests. The study shows that the lag order can significantly affect the critical values of the test. This points to the importance of correcting for the lag order effect in implementing the DF-GLS test. Approximate lag-adjusted, finite-sample critical values for the DF-GLS test are provided, which can be straightforwardly computed from response surface equations. Copyright 1995 by Blackwell Publishing Ltd

Date: 1995
References: Add references at CitEc
Citations: View citations in EconPapers (72) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:obuest:v:57:y:1995:i:3:p:411-19

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049

Access Statistics for this article

Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2019-08-20
Handle: RePEc:bla:obuest:v:57:y:1995:i:3:p:411-19