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

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dc.contributor.author Gonzalo, Jesús
dc.contributor.author Lee, Tae-Hwy
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2009-06-25T12:28:04Z
dc.date.available 2009-06-25T12:28:04Z
dc.date.issued 1995-09
dc.identifier.uri http://hdl.handle.net/10016/4512
dc.description.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.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 1995-39-11
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other DF tests
dc.subject.other Student-t tests
dc.subject.other Unit roots
dc.title No lack of relative power of the Dickey-Fuller tests for unit roots
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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