ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
نویسندگان
چکیده
منابع مشابه
On the Asymptotics of ADF Tests for Unit Roots1
In this paper, we derive the asymptotic distributions of AugmentedDickey-Fuller (ADF) tests under very mild conditions. The tests were originally proposed and investigated by Said and Dickey (1984) for testing unit roots in ...nite-order ARMA models with iid innovations, and are based on a ...nite AR process of order increasing with the sample size. Our conditions are signi...cantly weaker than...
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در این پایان نامه تاثیر دو نوع تست جزیی نگر و کلی نگر بر به یادسپاری محتوا ارزیابی شده که نتایج نشان دهندهکارایی تستهای کلی نگر بیشتر از سایر آزمونها است
15 صفحه اولF 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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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 کاملOn augmented HEGY tests for seasonal unit roots
The contribution of this paper is twofold. First we extend the large sample results provided for the augmented Dickey-Fuller test by Said and Dickey (1984) and Chang and Park (2002) to the case of the augmented seasonal unit root tests of Hylleberg et al. (1990) [HEGY], inter alia. Our analysis is performed under the same conditions on the innovations as in Chang and Park (2002), thereby allowi...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2002
ISSN: 0747-4938,1532-4168
DOI: 10.1081/etc-120015385