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Relative power of t type tests of stationary and unit root processes

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URI: https://hdl.handle.net/10016/747
ISSN: 0143-9782
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relative_power-ps.pdf (1.5 MB)
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1996-01
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Blackwell
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Abstract
This paper shows numerically that the lack of power and size distortions of the Dickey-Fuller type tests 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 th standard Student t tests for stationary roots of an autoregressive model.
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Keywords
Dickey-Fuller tests, Student t tests, Unit roots
Bibliographic citation
Journal of Time Series Analysis, January 1996, vol. 17, nº 1, p. 37-47
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