F versus t tests for unit roots

Peter Kennedy and John Elder

Economics Bulletin, 2001, vol. 3, issue 3, 1-6

Abstract: F tests which test jointly for a unit root and a zero intercept, and so compete against Dickey-Fuller t tests, are shown not to enhance power because they are invariant to the intercept value in the absence of a unit root. Monte Carlo results in the literature that indicate otherwise are shown to have resulted from the use of special starting values. Testing procedures that employ these F tests to enhance power should be revised.

Keywords: Dickey-Fuller (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2001-05-04
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Citations: View citations in EconPapers (12)

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