Leybourne, Stephen; Kim, Tae-Hwan; Newbold, Paul - In: Journal of Time Series Analysis 26 (2005) 3, pp. 355-369
Although the t-ratio variant of the Dickey-Fuller test is the most commonly applied unit-root test in practical applications, it has been known for some time that readily implementable, more powerful modifications are available. We explore the large-sample properties of five of these modified...