Unit root testing in the presence of innovation variance breaks: a simple solution with increased power
Cook, Steven
J. Appl. Math., Tome 2 (2002) no. 8, p. 233-240 / Harvested from Project Euclid
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The Dickey-Fuller unit root test is known to suffer severe oversizing in the presence of innovation variance breaks. In this paper, forward and reverse Dickey-Fuller regressions are proposed as a means of correcting this size distortion. The results of Monte Carlo experimentation show such an approach to result in both satisfactory size properties and increased power relative to previously suggested solutions.
Publié le : 2002-05-14
Classification:  62G10,  62P20,  65C05 
@article{1049074917,
     author = {Cook, Steven},
     title = {Unit root testing in the presence of innovation variance breaks: a simple solution with increased power},
     journal = {J. Appl. Math.},
     volume = {2},
     number = {8},
     year = {2002},
     pages = { 233-240},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1049074917}
}

Cook, Steven. Unit root testing in the presence of innovation variance breaks: a simple solution with increased power. J. Appl. Math., Tome 2 (2002) no. 8, pp.  233-240. http://gdmltest.u-ga.fr/item/1049074917/