Examination of some more powerful modifications of the Dickey-Fuller test

Stephen Leybourne, Tae Hwan Kim, Paul Newbold

Research output: Contribution to journalArticle

44 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)355-369
Number of pages15
JournalJournal of Time Series Analysis
Volume26
Issue number3
DOIs
Publication statusPublished - 2005 May 1

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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