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

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dc.contributor.author Gonzalo, Jesús
dc.contributor.author Lee, Tae-Hwy
dc.date.accessioned 2009-06-23T10:51:10Z
dc.date.available 2009-06-23T10:51:10Z
dc.date.issued 1996-01
dc.identifier.bibliographicCitation Journal of Time Series Analysis, January 1996, vol. 17, nº 1, p. 37-47
dc.identifier.issn 0143-9782
dc.identifier.uri http://hdl.handle.net/10016/747
dc.description.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.
dc.format.mimetype text/plain
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Blackwell
dc.subject.other Dickey-Fuller tests
dc.subject.other Student t tests
dc.subject.other Unit roots
dc.title Relative power of t type tests of stationary and unit root processes
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
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