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A discussion on power of ADF F-test with unexpected initial value.
- Source :
- Applied Economics Letters; 11/10/2009, Vol. 16 Issue 17, p1699-1703, 5p, 1 Chart, 1 Graph
- Publication Year :
- 2009
-
Abstract
- This article attempts to show when the series is a stationary autoregressive process, of which, the initial value is far from the deterministic trend, power of Augmented Dickey-Fuller(ADF) F-test is not only superior to the tests, which are most powerful for small and moderate initial value, such as GLS-DF test (Elliott et al., 1996) but also to ADF t-test, given small and moderate sample sizes; and especially, when the autoregressive coefficient is close to unity. The procedure proposed by Holden and Perman (1994), which takes advantage of both t- and F-type ADF tests is recommended. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 13504851
- Volume :
- 16
- Issue :
- 17
- Database :
- Complementary Index
- Journal :
- Applied Economics Letters
- Publication Type :
- Academic Journal
- Accession number :
- 45141075
- Full Text :
- https://doi.org/10.1080/13504850701604201