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Applied Economics Letters Volume 15, 2008 - Issue 10
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Original Articles

On the size of the DF–GLS test

Dimitrios V. Vougas Department of Economics, University of Wales Swansea, Singleton Park, Swansea, SA2 8PP, UKCorrespondence[email protected]
Pages 777-780 | Published online: 01 Aug 2008
 
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Abstract

Using Monte Carlo simulation, the size of the DF–GLS test is examined when there is a neglected level or trend break under the null hypothesis. Unlike the original DF test, the DF–GLS test has size which is not distorted/inflated.

Notes

1Note that this de-trending method goes back to Granger and Newbold (Citation1974) who propose regression in first differences.

2As it is easily observed the two de-trending methods are asymptotically equivalent.

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