|
| |
| Peter E. Kennedy and John Elder |
| |
| ''F versus t tests for unit roots'' |
| ( 2001, Vol. 3 No.3 ) |
| |
| |
| F tests which test jointly for a unit root and a zero intercept, and so compete against Dickey-Fuller t tests, are shown not to enhance power because they are invariant to the intercept value in the absence of a unit root. Monte Carlo results in the literature that indicate otherwise are shown to have resulted from the use of special starting values. Testing procedures that employ these F tests to enhance power should be revised. |
| |
| |
| Keywords: Dickey-Fuller |
JEL: C1 - Econometric and Statistical Methods: General
|
| |
| Manuscript Received : May 02 2001 | | Manuscript Accepted : May 04 2001 |
|
