Optimal lag length in estimating Dickey–Fuller statistics: an empirical note: Applied Economics Letters: Vol 2, No 6

121

Views

CrossRef citations to date

Altmetric

Abstract

The purpose of this note is to empirically demonstrate that the choice of summary statistic used in specifying the Dickey-Fuller test equation can determine the outcome of a test for stationarity. A reasonable empirical practice would be to evaluate stationarity over different lagged specifications of the Dickey-Fuller test equation.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Optimal lag length in estimating Dickey–Fuller statistics: an empirical note

Information for

Open access

Opportunities

Help and information

Optimal lag length in estimating Dickey–Fuller statistics: an empirical note

Abstract

Reprints and Corporate Permissions

Academic Permissions

Related research

To cite this article:

Download citation

Information for

Open access

Opportunities

Help and information

Keep up to date

Your download is now in progress and you may close this window

Login or register to access this feature