The Behaviour Of Dickeyefuller And Phillipsðperron Tests Under The Alternative Hypothesis  

Oleh:

Leybourne, Stephen J. ; Newbold, Paul

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 2 no. 1 (1999), page 92-106.
Topik: Power comparisons; Unit root tests
Fulltext: 92.pdf (234.2KB)

Isi artikel

The two most commonly applied tests of the null hypothesis of a unit autoregressive root in a time series generating process are examined. Simple theoretical calculations, conÞrmed by simulation evidence, suggest that the probabilities of rejection of the null hypothesis of those tests can differ substantially when the true generating process is a stationary second-order autoregression

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