Optimal lag length in estimating Dickey-Fuller statistics: an empirical note
The purpose of this note is to empirically demonstrate that the choice of summary statistic used in specifying the Dickey-Fuller test equation can determine the outcome of a test for stationarity. A reasonable empirical practice would be to evaluate stationarity over different lagged specifications of the Dickey-Fuller test equation.
Year of publication: |
1995
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Authors: | Gordon, Daniel |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 2.1995, 6, p. 188-190
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Publisher: |
Taylor & Francis Journals |
Saved in:
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