Unit root testing in the presence of innovation variance breaks: a simple solution with increased power
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 approa...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2002-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/S1110757X02107029 |
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