dc.contributor.author | Paparoditis Efstathios, E. | en |
dc.contributor.author | Politis, Dimitris Nicolas | en |
dc.creator | Paparoditis Efstathios, E. | en |
dc.creator | Politis, Dimitris Nicolas | en |
dc.date.accessioned | 2019-12-02T10:37:34Z | |
dc.date.available | 2019-12-02T10:37:34Z | |
dc.date.issued | 2016 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/57437 | |
dc.description.abstract | It is shown that the limiting distribution of the augmented Dickey–Fuller (ADF) test under the null hypothesis of a unit root is valid under a very general set of assumptions that goes far beyond the linear AR(∞) process assumption typically imposed. In essence, all that is required is that the error process driving the random walk possesses a continuous spectral density that is strictly positive. Furthermore, under the same weak assumptions, the limiting distribution of the ADF test is derived under the alternative of stationarity, and a theoretical explanation is given for the well-known empirical fact that the test's power is a decreasing function of the chosen autoregressive order p. The intuitive reason for the reduced power of the ADF test is that, as p tends to infinity, the p regressors become asymptotically collinear. 2016 Copyright © Taylor & Francis Group, LLC | en |
dc.source | Econometric Reviews | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84978083404&doi=10.1080%2f00927872.2016.1178887&partnerID=40&md5=0d46b0165755f8a157d87375cbdf75e0 | |
dc.subject | hypothesis testing | en |
dc.subject | Autoregressive representation | en |
dc.subject | random walk | en |
dc.title | The asymptotic size and power of the augmented Dickey–Fuller test for a unit rootAAA | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1080/00927872.2016.1178887 | |
dc.description.startingpage | 1 | |
dc.description.endingpage | 19 | |
dc.author.faculty | Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences | |
dc.author.department | Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics | |
dc.type.uhtype | Article | en |
dc.description.notes | <p>Article in Press</p> | en |
dc.source.abbreviation | Econom.Rev. | en |
dc.contributor.orcid | Paparoditis Efstathios, E. [0000-0003-1958-781X] | |
dc.gnosis.orcid | 0000-0003-1958-781X | |