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RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
Author(s) -
Gonzalo Jesus,
Lee TaeHwy
Publication year - 1996
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1996.tb00263.x
Subject(s) - mathematics , unit root , autoregressive model , type (biology) , unit root test , root (linguistics) , augmented dickey–fuller test , power (physics) , statistics , econometrics , stationary process , cointegration , geology , quantum mechanics , paleontology , linguistics , philosophy , physics
. 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 the standard Student t tests for stationary roots of an autoregressive model.