文章基本信息

标题：F versus t tests for unit roots: a comment
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作者：Paulo M. M. Rodrigues ; Andrew Tremayne
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2004
卷号：3
出版社：Economics Bulletin
摘要：In this note we provide justification for some Monte Carlo results presented by Elder and Kennedy (2001). In particular we show that the severe size distortions observed by Elder and Kennedy are due to the presence of nuisance parameters in the data generation process, but ignored in the test regression. As is shown in a small Monte Carlo exercise, correct size for the statistics is obtained when an adequate test regression is considered.
关键词：asymptotically invariant tests