Unit root testing based on BLUS residuals

This paper introduces an efficient version of the Dickey-Fuller unit root test, which is based on BLUS residuals. Simulated critical values are provided, along with power simulation and an empirical example.

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Year of publication:	2008
Authors:	Vougas, Dimitrios V.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 13, p. 1943-1947
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319133