Title of article :
The ADF–KPSS test of the joint confirmation hypothesis of unit autoregressive root
Author/Authors :
Piotr K b owski، نويسنده , , Aleksander Welfe، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2004
Pages :
7
From page :
257
To page :
263
Abstract :
This paper analyses properties of the ADF–KPSS test of the joint confirmation hypothesis of unit autoregressive root, when used in case of short samples with possible structural changes. Firstly, the critical values of the test are calculated for small samples, and secondly, the power of the test is investigated, including the case of structural change. The results lead to the conclusion that detecting potential structural breaks and inclusion of appropriate dummies in models of statistics can be treated as a successful strategy in inference on unit autoregressive root when the ADF–KPSS test is applied.
Keywords :
Joint confirmation hypothesis , Monte Carlo experiments , Unit root , Dickey–Fuller , KPSS , Joint distribution
Journal title :
Economics Letters
Serial Year :
2004
Journal title :
Economics Letters
Record number :
435543
Link To Document :
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