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...
متن کاملOptimal Fractional Dickey-fuller Tests for Unit Roots
This article considers the fractional Dickey-Fuller test for unit roots introduced recently by Dolado, Gonzalo and Mayoral (2002). The implementation of this test depends on a nuisance parameter that affects the power of the test. Since the arbitrary selection proposed by these authors is not optimal, in this article we investigate optimality aspects of the class of tests indexed by this parame...
متن کاملTests for Unit Roots and the Initial Condition by Ulrich
The paper analyzes the impact of the initial condition on the problem of testing for unit roots. To this end, we derive a family of optimal tests that maximize a weighted average power criterion with respect to the initial condition. We then investigate the relationship of this optimal family to popular tests. We find that many unit root tests are closely related to specific members of the opti...
متن کاملOn Phillips-perron Type Tests for Seasonal Unit Roots
In this paper we consider a semiparametric version of the test for seasonal unit roots suggested by Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238)+ The asymptotic theory is based on the analysis of a simple regression problem, and the results apply to tests at any given frequency in the range ~0,p#+ Monte Carlo simulations suggest that the test may have more powe...
متن کاملTests for Unit Roots and the Initial Condition
The paper analyzes the impact of the initial condition on the problem of testing for unit roots. To this end, we derive a family of optimal tests that maximize a weighted average power criterion with respect to the initial condition. We then investigate the relationship of this optimal family to popular tests. We find that many unit root tests are closely related to specific members of the opti...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2001
ISSN: 1556-5068
DOI: 10.2139/ssrn.258952