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Original Articles

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

Pages 188-190 | Published online: 05 Oct 2010

References

  • Dickey , D. A. and Fuller , W. A. 1979 . Distribution of the estimators for autoregressive time series with unit root . Journal of the American Statistical Association , 74 : 427 – 431 .
  • Granger , C. W. J. 1986 . Developments in the study of co-integrated economic variables . Oxford Bulletin of Economics and Statistics , 48 : 213 – 228 .
  • Hall , S. G. 1986 . An application of the Granger-Engle two-step estimation procedure to United Kingdom aggregate wage data . Oxford Bulletin of Economics and Statistics , 48 ( 3 ) : 229 – 240 .
  • Perron , P. 1989 . The great crash, the oil price shock and the unit root hypothesis . Econometrica , 57 : 1361 – 1402 .
  • Phillips , P. C. D. 1987 . Time series regressions with a unit root . Econometrica , 55 : 277 – 301 .
  • Sims , C. A. 1980 . Macroeconomics and reality . Econometrica , 48 : 1 – 48 .

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