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RELATIVE POWER OFtTYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES

 

作者: Jesus Gonzalo,   Tae‐Hwy Lee,  

 

期刊: Journal of Time Series Analysis  （WILEY Available online 1996）
卷期: Volume 17, issue 1  

页码: 37-47

 

ISSN:0143-9782

 

年代: 1996

 

DOI:10.1111/j.1467-9892.1996.tb00263.x

 

出版商: Blackwell Publishing Ltd

 

关键词: Dickey‐Fuller tests;Studentttests;unit roots

 

数据来源: WILEY

 

摘要:

Abstract.This paper shows numerically that the lack of power and size distortions of the Dickey‐Fuller type tests for unit roots (very well documented in the unit root literature) are similar to and in many situations even smaller than the lack of power and size distortions of the standard Studentttests for stationary roots of an autoregressive mode

 

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