Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Effects of Order Misspecification on Unit Root Tests

  • Shin, Dong-Wan (Department of Statistics, Ewha Womans University, Seodaemun, Seoul, 120-750) ;
  • Lee, Yoon-Dong (Department of Statistics, Iowa State University, IA50010, USA)
  • Published : 1997.06.01
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Abstract

Effects of order misspecification on statistical behavior of unit root tests are studied. We derive the limiting distributions of the Dickey-Fuller test statistics whose numerators are of the form c .int. W dW + .kappa. where W is a standard Brownian motion on [0, 1] and c is a real number. The term .kappa. is a major consequence of order misspecification and its explict expression is derived. Based on an analysis of .kappa., effects of order misspecification on unit root tests for AR(2), ARMA(1, 1), and AR(3) models are investigated.

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References

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