Finite Sample Lag Adjusted Critical Values of the ADF-GLS Test
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DOI: 10.1007/s10614-020-10082-6
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Cited by:
- Chowdhury, Rosen & Cook, Steve & Watson, Duncan, 2023. "Reconsidering the relationship between health and income in the UK," Social Science & Medicine, Elsevier, vol. 332(C).
- Peter S. Sephton, 2024. "Finite Sample Lag Adjusted Critical Values and Probability Values for the Fourier Wavelet Unit Root Test," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 693-705, August.
- Sephton, Peter, 2023. "Threshold cointegration and asymmetries between dividends and earnings news," Finance Research Letters, Elsevier, vol. 58(PB).
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More about this item
Keywords
Integrated processes; GLS detrending; Modified akaike information criterion; Unit root test;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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