Finite Sample Lag Adjusted Critical Values of the ADF-GLS Test

Ng and Perron (Econometrica 69:1519–1554, 2001) demonstrated the merits to employing their Modified Akaike Information Criterion to select the optimal lag length in the Elliott, Rothenberg and Stock (Econometrica 64:813–836, 1996) unit rot test. Perron and Qu (Econ Lett 84:12–19, 2007) introduced an...

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Veröffentlicht in:	Computational economics 2022, Vol.59 (1), p.177-183
1. Verfasser:	Sephton, Peter S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Behavioral/Experimental Economics Computer Appl. in Social and Behavioral Sciences Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Estimates Foreign exchange rates Math Applications in Computer Science Operations Research/Decision Theory Response surface methodology Sample size Trends Values
Online-Zugang:	Volltext
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