IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v17y1996i1p37-47.html
   My bibliography  Save this article

RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES

Author

Listed:
  • Jesus Gonzalo
  • Tae‐Hwy Lee

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 Student t tests for stationary roots of an autoregressive model.

Suggested Citation

  • Jesus Gonzalo & Tae‐Hwy Lee, 1996. "RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(1), pages 37-47, January.
    • Handle: RePEc:bla:jtsera:v:17:y:1996:i:1:p:37-47
    DOI: 10.1111/j.1467-9892.1996.tb00263.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1996.tb00263.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.1996.tb00263.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tilak Abeysinghe & Gulasekaran Rajaguru, 2009. "A Gaussian Test for Cointegration," Microeconomics Working Papers 22013, East Asian Bureau of Economic Research.
    2. Francesca Di Iorio & Umberto Triacca, 2014. "Testing for A Set of Linear Restrictions in VARMA Models Using Autoregressive Metric: An Application to Granger Causality Test," Econometrics, MDPI, vol. 2(4), pages 1-14, December.
    3. Gonzalo, Jesus & Lee, Tae-Hwy, 1998. "Pitfalls in testing for long run relationships," Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
    4. Lim Kai Jie, Shawn & Chadha, Pavneet & Lau, Joshua & Potdar, Nishad, 2012. "Is the Mongolian Equity Market Efficient? Empirical Evidence from Tests of Weak-Form Efficiency," MPRA Paper 41834, University Library of Munich, Germany.
    5. Jürgen Wolters & Uwe Hassler, 2006. "Unit Root Testing," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 4, pages 41-56, Springer.
    6. González, M., 1997. "Threshold unit root models," DES - Working Papers. Statistics and Econometrics. WS 6214, Universidad Carlos III de Madrid. Departamento de Estadística.
    7. Di Iorio, Francesca & Triacca, Umberto, 2013. "Testing for Granger non-causality using the autoregressive metric," Economic Modelling, Elsevier, vol. 33(C), pages 120-125.
    8. Corduas, Marcella & Piccolo, Domenico, 2008. "Time series clustering and classification by the autoregressive metric," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1860-1872, January.

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:17:y:1996:i:1:p:37-47. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.