Efficient tests for unit roots with prediction errors
نویسندگان
چکیده
منابع مشابه
F versus t tests for unit roots
F tests which test jointly for a unit root and a zero intercept, and so compete against Dickey−Fuller t tests, are shown not to enhance power because they are invariant to the intercept value in the absence of a unit root. Monte Carlo results in the literature that indicate otherwise are shown to have resulted from the use of special starting values. Testing procedures that employ these F tests...
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 2003
ISSN: 0378-3758
DOI: 10.1016/s0378-3758(01)00313-5