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White noise and other experiments on augmented Dickey-Fuller tests

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  • Kevin Fox

Abstract

Various methods for choosing the appropriate degree of 'augmentation' for augmented Dickey-Fuller tests are compared using Monte Carlo experiments. A commonly used method is found to result in very low power It is interesting that Humans try to find Meaningful Patterns in things that are essentially random. (Commander Data, Star Trek, 1992)

Suggested Citation

  • Kevin Fox, 1997. "White noise and other experiments on augmented Dickey-Fuller tests," Applied Economics Letters, Taylor & Francis Journals, vol. 4(11), pages 689-694.
    • Handle: RePEc:taf:apeclt:v:4:y:1997:i:11:p:689-694
    DOI: 10.1080/758530650
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    References listed on IDEAS

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    1. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
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    Cited by:

    1. Hasan Bakhshi & Anthony Yates, 1998. "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England.

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