Paper Title:
Augmented Dickey-Fuller Test and the Lag Length Selection Problem
  Abstract

Many studies indicated that ADF test is very sensitive to different leg length selection models. Based on Hall, and Ng, Perron’s works, this article simulates a more general ARIMA(0,1,q) process and compares the influence of different selection methods to the size and power of the ADF test. Finally, it is proved that the Modified Information Criteria always shows a more proper size and the General to Special Criteria has more robust ADF test properties.

  Info
Periodical
Edited by
Han Zhao
Pages
3019-3022
DOI
10.4028/www.scientific.net/AMM.130-134.3019
Citation
L. Deng, "Augmented Dickey-Fuller Test and the Lag Length Selection Problem", Applied Mechanics and Materials, Vols. 130-134, pp. 3019-3022, 2012
Online since
October 2011
Authors
Export
Price
$32.00
Share

In order to see related information, you need to Login.

In order to see related information, you need to Login.

Authors: Hong Gun Kim, Sung Mo Yang, Hong Gil Noh, Dong Joo Lee
Abstract:An investigation of composite mechanics to investigate stress transfer mechanism accurately, a modification of the conventional shear lag...
1421
Authors: Wei Liu, Zi Yun Lu
Abstract:This paper is concerned with the asymptotical stability analysis for a class of switched uncertain descriptor systems with time-delay. The...
2150
Authors: Chon Chen, You Jin Jiang, Lan Huang
Abstract:By analyzing the principle of the HEM with inertia track and decoupled disc-membrane, this paper carried the analysis and the summary to the...
853
Authors: You Ming Wu
Chapter 4: Structural Strength and Robustness
Abstract:The homogeneous solutions of the governing differential equations derived from energy variational method was used as the displacement...
746