The power of the ADF test

被引：32

作者：

Lopez, JH

机构：

来源：

ECONOMICS LETTERS | 1997年 / 57卷 / 01期

关键词：

Dickey-Fuller; unit roots; asymptotic power;

D O I：

10.1016/S0165-1765(97)81872-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The asymptotic distribution of the Dickey-Fuller test is derived under the alternative hypothesis when MA error terms are present in the data. It is found that the asymptotic t statistic is not affected by the distance between the alternative and the null hypothesis and what is relevant is the ratio of the sample size (T) to the order of the autoregression (m). (C) 1997 Elsevier Science S.A.

引用

页码：5 / 10

页数：6

共 4 条

[1] CONSISTENT AUTOREGRESSIVE SPECTRAL ESTIMATES [J].