• Title of article

    The balance between size and power in Dickey-Fuller tests with data-dependent rules for the choice of truncation lag

  • Author/Authors

    Agiakloglou، نويسنده , , Christos; Newbold، نويسنده , , Paul ، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 1996
  • Pages
    6
  • From page
    229
  • To page
    234
  • Abstract
    The lag in Dickey-Fuller regressions may be chosen through order selection criteria or general-to-specific testing. We examine the trade-offs between size distortion and power that are implied by this approach to testing for unit roots.
  • Keywords
    Moving average terms , Unit roots , Time-series processes
  • Journal title
    Economics Letters
  • Serial Year
    1996
  • Journal title
    Economics Letters
  • Record number

    434170

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=434170