Lag Order and Critical Values of the Augmented Dickey-Fuller Test

Lag Order and Critical Values of the Augmented Dickey-Fuller Test

Response surface analysis is used to obtain approximate finite-sample critical values for the augmented Dickey-Fuller (ADF) test. Previous studies estimating the critical values for the test have generally ignored their possible dependence on the lag order. This study shows that the lag order, in ad...

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Veröffentlicht in:Journal of business & economic statistics 1995-07, Vol.13 (3), p.277-280
Hauptverfasser: Cheung, Yin-Wong, Lai, Kon S.
Format: Artikel
Sprache:eng
Schlagworte:
Business orders
Critical path
Critical values
Economic models
Economic research
Economic statistics
Economic theory
Error rates
Estimators
Finite-sample critical value
Mathematical constants
Monte Carlo
Response surface
Sample size
Standard error
Statistics
Time series
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Beschreibung
Zusammenfassung:Response surface analysis is used to obtain approximate finite-sample critical values for the augmented Dickey-Fuller (ADF) test. Previous studies estimating the critical values for the test have generally ignored their possible dependence on the lag order. This study shows that the lag order, in addition to the sample size, can affect the finite-sample behavior of the test. The result points to the importance of correcting for the effect of lag order in applying the ADF test.
ISSN:0735-0015
1537-2707
DOI:10.1080/07350015.1995.10524601