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

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URI: https://hdl.handle.net/10016/4512
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ws953911.pdf (620.43 KB)
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1995-09
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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.
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DF tests, Student-t tests, Unit roots
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DES - Working Papers. Statistics and Econometrics. WS
Economists Online