White noise and other experiments on augmented Dickey-Fuller tests

Kevin Fox

Applied Economics Letters, 1997, vol. 4, issue 11, 689-694

Abstract: Various methods for choosing the appropriate degree of 'augmentation' for augmented Dickey-Fuller tests are compared using Monte Carlo experiments. A commonly used method is found to result in very low power It is interesting that Humans try to find Meaningful Patterns in things that are essentially random. (Commander Data, Star Trek, 1992)

Date: 1997
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DOI: 10.1080/758530650

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