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Unit root testing based on BLUS residuals

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  • Vougas, Dimitrios V.

Abstract

This paper introduces an efficient version of the Dickey-Fuller unit root test, which is based on BLUS residuals. Simulated critical values are provided, along with power simulation and an empirical example.

Suggested Citation

  • Vougas, Dimitrios V., 2008. "Unit root testing based on BLUS residuals," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1943-1947, September.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:13:p:1943-1947
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    References listed on IDEAS

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    1. Schmidt, Peter & Lee, Junsoo, 1991. "A modification of the Schmidt-Phillips unit root test," Economics Letters, Elsevier, vol. 36(3), pages 285-289, July.
    2. Vougas, Dimitrios V., 2007. "GLS detrending and unit root testing," Economics Letters, Elsevier, vol. 97(3), pages 222-229, December.
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    9. Chow, Gregory C, 1976. "A Note on the Derivation of Theil's BLUS Residuals," Econometrica, Econometric Society, vol. 44(3), pages 609-610, May.
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    11. Pantula, Sastry G & Gonzalez-Farias, Graciela & Fuller, Wayne A, 1994. "A Comparison of Unit-Root Test Criteria," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 449-459, October.
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