White noise and other experiments on augmented Dickey-Fuller tests

Various methods for choosing the appropriate degree of 'augmentation' for augmented Dickey-Fuller tests are compared using Monte Carlo experiments. A commonly used method is found to result in very low power It is interesting that Humans try to find Meaningful Patterns in things that are essentially random. (Commander Data, Star Trek, 1992)

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Year of publication:	1997
Authors:	Fox, Kevin
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 4.1997, 11, p. 689-694
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/10009202972