Optimal lag length in estimating Dickey–Fuller statistics: an empirical note

Daniel V. Gordon

33 citations0/0 files storedApplied Economics Letters

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Diverse Scientific and Economic Studies

Abstract

The purpose of this note is to empirically demonstrate that the choice of summary statistic used in specifying the Dickey-Fuller test equation can determine the outcome of a test for stationarity. A reasonable empirical practice would be to evaluate stationarity over different lagged specifications of the Dickey-Fuller test equation.

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1980Macroeconomics and Reality 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1987Time Series Regression with a Unit Root 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES 1986AN APPLICATION OF THE GRANGER & ENGLE TWO‐STEP ESTIMATION PROCEDURE TO UNITED KINGDOM AGGREGATE WAGE DATA*

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