The behaviour of Dickey-Fuller and Phillips-Perron tests under the alternative hypothesis

Stephen Leybourne () and Paul Newbold

Econometrics Journal, 1999, vol. 2, issue 1, 92-106

Abstract: The two most commonly applied tests of the null hypothesis of a unit autoregres-sive root in a time series generating process are examined. Simple theoretical calculations, confirmed by simulation evidence, suggest that the probabilities of rejection of the null hy-pothesis of those tests can differ substantially when the true generating process is a stationary second-order autoregression.

Keywords: Power comparisons; Unit root tests. (search for similar items in EconPapers)
Date: 1999
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