Optimal lag length in estimating Dickey-Fuller statistics: an empirical note

Daniel Gordon ()

Applied Economics Letters, 1995, vol. 2, issue 6, 188-190

Abstract: The purpose of this note is to empirically demonstrate that the choice of summary statistic used in specifying the Dickey-Fuller test equation can determine the outcome of a test for stationarity. A reasonable empirical practice would be to evaluate stationarity over different lagged specifications of the Dickey-Fuller test equation.

Date: 1995
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Working Paper: Optimal Lag Length in Estimating Dickey-Fuller Statistics: An Empirical Note (1994)
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DOI: 10.1080/135048595357410

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