The asymptotic size and power of the augmented Dickey–Fuller test for a unit root
Author:
Affiliation:
1. Department of Mathematics and Statistics, University of Cyprus, Nicosia, Cyprus
2. Department of Mathematics, University of California–San Diego, La Jolla, California, USA
Funder
NSF grants
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00927872.2016.1178887
Reference31 articles.
1. On the Asymptotic Power of Unit Root Tests
2. Consistent Autoregressive Spectral Estimates
3. Nonparametric tests for unit roots and cointegration
4. Martingale Central Limit Theorems
5. ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
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