LAG ORDER AND CRITICAL-VALUES OF THE AUGMENTED DICKEY-FULLER TEST

被引：410

作者：

CHEUNG, YW ^{[1
]}

LAI, KS ^{[1
]}

机构：

[1] CALIF STATE UNIV LOS ANGELES,DEPT ECON & STAT,LOS ANGELES,CA 90032

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 1995年 / 13卷 / 03期

关键词：

FINITE-SAMPLE CRITICAL VALUE; MONTE-CARLO; RESPONSE SURFACE;

D O I：

10.2307/1392187

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Response surface analysis is used to obtain approximate finite-sample critical values for the augmented Dickey-Fuller (ADF) test. Previous studies estimating the critical values for the test have generally ignored their possible dependence on the lag order. This study shows that the lag order, in addition to the sample size, can affect the finite-sample behavior of the test. The result points to the importance of correcting for the effect of lag order in applying the ADF test.

引用

页码：277 / 280

页数：4

共 17 条

[1] FINITE-SAMPLE SIZES OF JOHANSEN LIKELIHOOD RATIO TESTS FOR COINTEGRATION [J].

CHEUNG, YW ;

LAI, KS .

OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 1993, 55 (03) :313-328

[2]

CHEUNG YW, IN PRESS OXFORD B EC, P57

[3]

CHEUNG YW, 1993, 269 U CAL SANT CRUZ

[4] DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT [J].

DICKEY, DA ;

FULLER, WA .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1979, 74 (366) :427-431

[5] MONTE-CARLO METHODOLOGY AND THE FINITE-SAMPLE PROPERTIES OF INSTRUMENTAL VARIABLES STATISTICS FOR TESTING NESTED AND NONNESTED HYPOTHESES [J].

ERICSSON, NR .

ECONOMETRICA, 1991, 59 (05) :1249-1277

[6]

FULLER WA, 1976, INTRO STATISTICAL TI

[7] TESTING FOR A UNIT-ROOT IN TIME-SERIES WITH PRETEST DATA-BASED MODEL SELECTION [J].

HALL, A .

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 1994, 12 (04) :461-470

[8]

Hendry D. F., 1984, HDB ECONOMETRICS, V2- 3, P937

[9]

Hendry D.F., 1974, J ECONOMETRICS, V2, P151

[10]

Hendry D.F., 1979, J ECONOMETRICS, V9, P295

← 1 2 →