On the size of the DF-GLS test

Dimitrios Vougas

Applied Economics Letters, 2008, vol. 15, issue 10, 777-780

Abstract: Using Monte Carlo simulation, the size of the DF-GLS test is examined when there is a neglected level or trend break under the null hypothesis. Unlike the original DF test, the DF-GLS test has size which is not distorted/inflated.

Date: 2008
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DOI: 10.1080/13504850600749115

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