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Lag truncation and the local asymptotic distribution of the ADF test for a unit root

Aylar, Emre, Smeekes, Stephan and Westerlund, Joakim 2017, Lag truncation and the local asymptotic distribution of the ADF test for a unit root, Statistical papers, pp. 1-10, doi: 10.1007/s00362-017-0911-y.

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Title Lag truncation and the local asymptotic distribution of the ADF test for a unit root
Author(s) Aylar, Emre
Smeekes, Stephan
Westerlund, Joakim
Journal name Statistical papers
Start page 1
End page 10
Total pages 10
Publisher Springer
Place of publication Berlin, Germany
Publication date 2017
ISSN 0932-5026
Keyword(s) ADF test
Unit root testing
Lag selection
Local asymptotic power
Notes In Press.
Language eng
DOI 10.1007/s00362-017-0911-y
Field of Research 0104 Statistics
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2017, The Authors
Persistent URL http://hdl.handle.net/10536/DRO/DU:30097095

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Created: Wed, 07 Jun 2017, 14:14:09 EST

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