Unit root tests based on inequality-restricted estimators

This study considers the possibility of estimating a Dickey-Fuller regression, constraining the autoregressive parameter to be at most one, and imposing prior knowledge of the sign of the drift parameter. In spite of apparently encouraging asymptotic results, it emerges that no feasible test of the unit root null hypothesis with superior finite sample properties follows from such inequality-restricted estimation.

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Year of publication:	2001
Authors:	Kim, Tae-Hwan ; Newbold, Paul
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 8.2001, 12, p. 793-797
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009195941