Resource title

Unusual behaviour of Dickey-Fuller tests in the presence of trend misspecification : Comment

Resource image

image for OpenScout resource :: Unusual behaviour of Dickey-Fuller tests in the presence of trend misspecification : Comment

Resource description

In this paper we present explanation on the phenomenon pointed out in Cook and Manning (2002) on the unusual behaviour of the Dickey-Fuller test in the presence of trend misspecification. It appears that the rejection frequency of the unit root tests in the presence of trend misspecification is very sensitive to the number of the initial observations that need to be discarded. Based on the evidence from the Monte Carlo simulations, we show that for the DGP in Cook and Manning (2002), the unusual behaviour of the Dickey-Fuller test disappears as the number of the discarded initial observations becomes sufficiently large.

Resource author

Boriss Siliverstovs

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/18151

Resource license

Adapt according to the presented license agreement and reference the original author.