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Correcting size distortion of the Dickey-Fuller test via recursive mean adjustment

Leybourne et al. (J. Econom. 87 (1998) 191) have shown the Dickey-Fuller (J. Amer. Statist. Assoc. 74 (1979) 427) unit root test to suffer from severe oversizing in the presence of level breaks. In this paper it is shown that recursive mean adjustment can correct this distortion, even for large breaks.
Year of publication:
2002
Authors: Cook, Steven
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 60.2002, 1, p. 75-79
Publisher: Elsevier
Keywords: Recursive mean adjustment Unit root test Structural breaks Monte Carlo methods
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10005313849
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