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PRACTITIONERS CORNER: Lag Order and Critical Values of a Modified Dickey-Fuller Test

  • Published:2009-05-01 Issue:3 Volume:57 Page:411-419
  • ISSN:0305-9049
  • Container-title:Oxford Bulletin of Economics and Statistics
  • language:en
  • Short-container-title:

Author:

Cheung Yin-Wong,Lai Kon S.

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Reference18 articles.

1. ‘Are Output Fluctuations Transitory?’;Campbell;Quarterly Journal of Economics,1987

2. ‘Finite-Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration’;Cheung;BULLETIN,1993

3. ‘Lag Order and Critical Values of the Augmented Dickey-Fuller Test’;Cheung;Journal of Business and Economic Statistics,1995

4. ‘How Big is the Random Walk in GNP?’;Cochrane;Journal of Political Economy,1988

5. ‘Long Memory and Persistence in Aggregate Output’;Diebold;Journal of Monetary Economics,1989

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