Examination of Some More Powerful Modifications of the Dickey–Fuller Test

Paul Newbold

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Monetary Policy and Economic Impact Time Series Analysis and Forecasting Diverse Scientific and Economic Studies

Abstract

Abstract. Although the t‐ratio variant of the Dickey–Fuller test is the most commonly applied unit‐root test in practical applications, it has been known for some time that readily implementable, more powerful modifications are available. We explore the large‐sample properties of five of these modified tests, and the small‐sample properties of these five plus six hybrids. As a result of this study we recommend two particular test procedures.

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References

1988Testing for a Unit Root in Time Series Regression 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1996Efficient Tests for an Autoregressive Unit Root 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag 1987Towards a Unified Asymptotic Theory for Autoregression 1994A Comparison of Unit-Root Test Criteria 1992Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence 1999Efficient Tests for a Unit Root When the Initial Observation is Drawn From Its Unconditional Distribution

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