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

Stephen Leybourne; Tae Hwan Kim; Paul Newbold

doi:10.1111/j.1467-9892.2004.00406.x

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

Stephen Leybourne, Tae Hwan Kim, Paul Newbold

Department of Economics

Research output: Contribution to journal › Article › peer-review

50 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 language	English
Pages (from-to)	355-369
Number of pages	15
Journal	Journal of Time Series Analysis
Volume	26
Issue number	3
DOIs	https://doi.org/10.1111/j.1467-9892.2004.00406.x
Publication status	Published - 2005 May

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1111/j.1467-9892.2004.00406.x

Cite this

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

Abstract

All Science Journal Classification (ASJC) codes

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