On the asymptotic distribution of the Dickey Fuller-GLS test statistic

Westerlund, Joakim 2014, On the asymptotic distribution of the Dickey Fuller-GLS test statistic, Statistics, vol. 48, no. 6, pp. 1233-1253, doi: 10.1080/02331888.2013.835815.

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Title On the asymptotic distribution of the Dickey Fuller-GLS test statistic
Author(s) Westerlund, Joakim
Journal name Statistics
Volume number 48
Issue number 6
Start page 1233
End page 1253
Total pages 21
Publisher Taylor and Francis
Place of publication Abingdon, Eng.
Publication date 2014
ISSN 0233-1888
1029-4910
Summary In a very influential paper, Elliott et al. [Efficient tests for an autoregressive unit root. Econometrica. 1996;64:813–836] show that no uniformly most powerful test for the unit root testing problem exits, derive the relevant power envelope and characterize a family of point-optimal tests. As a by-product, they also propose a ‘generalized least squares (GLS) detrended’ version of the conventional Dickey–Fuller test, denoted DF-GLS, that has since then become very popular among practitioners, much more so than the point-optimal tests. In view of this, it is quite strange to find that, while conjectured in Elliott et al. [Efficient tests for an autoregressive unit root. Econometrica. 1996;64:813–836], so far there seems to be no formal proof of the asymptotic distribution of the DF-GLS test statistic. By providing three separate proofs, the current paper not only substantiates the required result, but also provides insight regarding the pros and cons of different methods of proof.
Language eng
DOI 10.1080/02331888.2013.835815
Field of Research 150202 Financial Econometrics
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2013, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30072145

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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