No lack of relative power of the Dickey-Fuller tests for unit roots

Tae Hwy Lee
Authors registered in the RePEc Author Service: Jesus Gonzalo

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper shows numerically that the lack ofpower and size distortions of the Dickey-Fuller type test for unit roots (very well documented in the unit root literature) are similar to and in many situations even smaller than the lack of power and size distortions of the standard Student-t tests for stationary roots of an AR model.

Keywords: DF; tests; Student-t; tests; Unit; roots (search for similar items in EconPapers)
Date: 1995-09
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:4512

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