Unit root tests based on inequality-restricted estimators

Tae Hwan Kim, Paul Newbold

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This study considers the possibility of estimating a Dickey-Fuller regression, constraining the autoregressive parameter to be at most one, and imposing prior knowledge of the sign of the drift parameter. In spite of apparently encouraging asymptotic results, it emerges that no feasible test of the unit root null hypothesis with superior finite sample properties follows from such inequality-restricted estimation.

Original languageEnglish
Pages (from-to)793-797
Number of pages5
JournalApplied Economics Letters
Volume8
Issue number12
DOIs
Publication statusPublished - 2001 Dec 1

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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