Autore
Lopez, Humberto

Titolo
Testing for unit roots with the k-th. autocorrelation coefficient
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1993 - Fascicolo: 29 - Pagina iniziale: 1 - Pagina finale: 19

Some applied research has recently used the regression of a variable on its k-th lag, rather than on its first lag, as a test for unit roots. By doing so, series which otherwise would be accepted to be 1(1), are instead treated as l(0). This paper shows that when one uses a lag other than the first one, the standard Dickey-Fuller distribution changes. The paper also provides an easy correction for the Dickey-Fuller critical values, so that the standard tables can be adapted for the inference.



Testo completo: http://hdl.handle.net/1814/470

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