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Finite Sample Lag Adjusted Critical Values of the ADF-GLS Test
Computational Economics ( IF 2 ) Pub Date : 2021-01-03 , DOI: 10.1007/s10614-020-10082-6
Peter S. Sephton

Ng and Perron (Econometrica 69:1519–1554, 2001) demonstrated the merits to employing their Modified Akaike Information Criterion to select the optimal lag length in the Elliott, Rothenberg and Stock (Econometrica 64:813–836, 1996) unit rot test. Perron and Qu (Econ Lett 84:12–19, 2007) introduced an empirical method that resolved an associated power problem for non-local alternatives. While Cheung and Lai (Oxford Bull Econ Stat 57:411-419, 1995) contains response surface estimates to generate finite-sample, lag-adjusted critical five and ten percent values for use in applied work, these relate to the original Elliott et al. (Econometrica 64:813–836, 1996) test. This paper provides response surfaces estimates of critical values for both the Ng and Perron (Econometrica 69:1519–1554, 2001) and Perron and Qu (Econ Lett 84:12–19, 2007) approaches, demonstrating they are sometimes quite different, an important consideration when performing inference.



中文翻译:

ADF-GLS测试的有限样品滞后调整临界值

Ng和Perron(Econometrica 69:1519–1554,2001)证明了在Elliott,Rothenberg和Stock(Econometrica 64:813–836,1996)单位腐烂测试中采用改进的Akaike信息准则选择最佳滞后长度的优点。Perron和Qu(Econ Lett 84:12-19,2007)引入了一种经验方法,该方法解决了非本地替代方案的相关功率问题。尽管Cheung和Lai(Oxford Bull Econ Stat 57:411-419,1995)包含响应面估计以生成有限样本,经滞后调整的5%和10%临界值以用于应用工作,但这些与原始Elliott等有关。(Econometrica 64:813–836,1996)测试。本文提供了Ng和Perron(Econometrica 69:1519-1554,2001)和Perron和Qu(Econ Lett 84:12-19,2007)方法的临界值的响应面估计,

更新日期:2021-01-12
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