Covariate Unit Root Tests with Good Size and Power

Sebastian Fossati

No 2011-4, Working Papers from University of Alberta, Department of Economics

Abstract: The selection of the truncation lag for covariate unit root tests is analyzed using Monte Carlo simulation. It is shown that standard information criteria such as the BIC or the AIC can result in tests with large size distortions. Modifi ed information criteria can be used to construct tests with good size and power. An empirical illustration is provided.

Keywords: unit root tests; truncation lag; information criteria; vector autoregressions (search for similar items in EconPapers)
JEL-codes: C12 C32 C52 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2011-05-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (3)

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Journal Article: Covariate unit root tests with good size and power (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:albaec:2011_004

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