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...

While many model selection criteria have been suggested over the last thirty years, applied researchers still rely on R2 and R -2 to a surprising degree. It is suggested that this is mainly due to the extra informational content of these criteria compared to other alternatives. Expressions for...