Lag optimisation and finite-sample size distortion of unit root tests

被引：11

作者：

Cook, S ^{[1
]}

Manning, N ^{[1
]}

机构：

[1] Univ Coll Swansea, Dept Econ, Swansea SA2 8PP, W Glam, Wales

来源：

ECONOMICS LETTERS | 2004年 / 84卷 / 02期

关键词：

unit roots; lag optimisation;

D O I：

10.1016/j.econlet.2004.02.010

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Commonly employed critical values are shown to result in size distortion for unit root tests when the augmentation of the testing equation is optimised via a decision rule. Previously proposed lag-adjusted critical values are found to increase this distortion. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：267 / 274

页数：8

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