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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

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