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

Stephen Leybourne, Tae Hwan Kim, Paul Newbold

Research output: Contribution to journalArticle

42 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

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Dickey-Fuller Test
Unit Root Tests
Small Sample
Dickey-Fuller test
Small sample properties
Unit root tests

All Science Journal Classification (ASJC) codes

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

Cite this

Leybourne, Stephen ; Kim, Tae Hwan ; Newbold, Paul. / Examination of some more powerful modifications of the Dickey-Fuller test. In: Journal of Time Series Analysis. 2005 ; Vol. 26, No. 3. pp. 355-369.
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Examination of some more powerful modifications of the Dickey-Fuller test. / Leybourne, Stephen; Kim, Tae Hwan; Newbold, Paul.

In: Journal of Time Series Analysis, Vol. 26, No. 3, 01.05.2005, p. 355-369.

Research output: Contribution to journalArticle

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