Optimized Dickey-Fuller Test Refines Sign and Boundary Problems Compare to Traditional Dickey-Fuller Test
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چکیده
منابع مشابه
Bootstrap versus Bartlett type correction of the Dickey-Fuller test
The bad small sample performance of unit root tests is well known and depends partly on the existence of nuisance parameters. To deal with this Johansen (2004) presents a small sample correction of the Dickey-Fuller test. The correction factor depends on biased parameter estimates. The purpose of this study is to, through simulation, compare the small sample correction with a bootstrap approach...
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We derive the probability limit of the standard Dickey-Fuller-test in the context of an exponential random walk. This result might be useful in interpreting tests for unit roots when the test is inadvertantly applied to the levels of the data when the "true" random walk is in the logs. 1 Research supported by Deutsche Forschungsgemeinschaft via SFB 475; we are grateful to Werner Ploberger for h...
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ژورنال
عنوان ژورنال: International Journal of Statistics and Probability
سال: 2018
ISSN: 1927-7040,1927-7032
DOI: 10.5539/ijsp.v7n5p19