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Examination of Some More Powerful Modifications of the Dickey–Fuller Test
Author(s) -
Leybourne Stephen,
Kim TaeHwan,
Newbold Paul
Publication year - 2005
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.1467-9892.2004.00406.x
Subject(s) - mathematics , test (biology) , augmented dickey–fuller test , econometrics , statistics , granger causality , biology , botany
. Although the t ‐ratio variant of the Dickey–Fuller test is the most commonly applied unit‐root test in practical applications, it has been known for some time that readily implementable, more powerful modifications are available. We explore the large‐sample properties of five of these modified tests, and the small‐sample properties of these five plus six hybrids. As a result of this study we recommend two particular test procedures.