All Title Author
Keywords Abstract

Unit root testing in the presence of innovation variance breaks: a simple solution with increased power

DOI: 10.1155/s1110757x02107029

Full-Text   Cite this paper   Add to My Lib


The Dickey-Fuller unit root test is known to suffer severe oversizing in the presence of innovation variance breaks. In this paper, forward and reverse Dickey-Fuller regressions are proposed as a means of correcting this size distortion. The results of Monte Carlo experimentation show such an approach to result in both satisfactory size properties and increased power relative to previously suggested solutions.


comments powered by Disqus