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Exact critical values of unit root tests with drift and trend

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  • Kazuhiro Ohtani

Abstract

This paper, using the Imhof method, evaluates the numerically exact critical values of unit root tests based on the OLS estimator when there are drift and trend. The somewhat detailed tables of the exact critical values are presented.

Suggested Citation

  • Kazuhiro Ohtani, 2002. "Exact critical values of unit root tests with drift and trend," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 137-145.
    • Handle: RePEc:taf:apeclt:v:9:y:2002:i:3:p:137-145
    DOI: 10.1080/13504850110052816
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    References listed on IDEAS

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    1. Guilkey, David K. & Schmidt, Peter, 1989. "Extended tabulations for Dickey-Fuller tests," Economics Letters, Elsevier, vol. 31(4), pages 355-357, December.
    2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    3. Evans, G B A & Savin, N E, 1984. "Testing for Unit Roots: 2," Econometrica, Econometric Society, vol. 52(5), pages 1241-1269, September.
    4. Daniela De Angelis & Stefano Fachin & G. Alastair Young, 1997. "Bootstrapping unit root tests," Applied Economics, Taylor & Francis Journals, vol. 29(9), pages 1155-1161.
    5. Evans, G B A & Savin, N E, 1981. "Testing for Unit Roots: 1," Econometrica, Econometric Society, vol. 49(3), pages 753-779, May.
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    Cited by:

    1. Irvin Tucker, 2004. "Pigskins and publications revisited," Applied Economics Letters, Taylor & Francis Journals, vol. 11(13), pages 843-845.
    2. Junya Masuda & Kazuhiro Ohtani, 2008. "Exact distribution and critical values of a unit root test when error terms are serially correlated," Applied Economics Letters, Taylor & Francis Journals, vol. 15(5), pages 359-362.

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