Relevant bibliographies by topics / Dickey-Fuller test

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Academic literature on the topic 'Dickey-Fuller test'

Author: Grafiati
Published: 4 June 2021
Last updated: 4 February 2022

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Journal articles on the topic "Dickey-Fuller test"

1

Islam, Masudul, Afroza Akhtar, Sirajum Munira, Md Salauddin Khan, and Md Monzur Murshed. "Optimized Dickey-Fuller Test Refines Sign and Boundary Problems Compare to Traditional Dickey-Fuller Test." International Journal of Statistics and Probability 7, no. 5 (2018): 19. http://dx.doi.org/10.5539/ijsp.v7n5p19.

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Impede nonstationarity is vigorous to study performance of time series data and removes long-term components to expose any regular short-term regularity. So, we find miscellaneous unit root tests for instance Dickey-Fuller test, Augmented Dickey-Fuller plus DF-GLS Tests and identify that almost all unit root tests with the estimated model suffer from sign and boundary problems of the parameters to smooth the progress of the non-stationarity problem. In this paper, we usage Dickey-Fuller test and impose some limits on the parameter. Our proposed optimized DF test based on error sum of square (ESS). Monto Carlo simulation method is used to generate simulated critical values for different sample size. Our proposed optimized DF test gives better result than the ordinary DF test with effectiveness, uniformity and power properties. Also, optimized DF improves the sign and boundary problems through imposing some limit on error sum of squares and capture more nonstationarity of time related data.
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2

Fotopoulos, Stergios B., and Sung K. Ahn. "Rank Based Dickey-Fuller Test Statistics." Journal of Time Series Analysis 24, no. 6 (2003): 647–62. http://dx.doi.org/10.1111/j.1467-9892.2003.00327.x.

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3

Cheolyong Park, 이희수, Sun Young Hwang, 하정철, and Kim Tae Yoon. "Dickey-Fuller Test for an Extended MA Model." Quantitative Bio-Science 38, no. 1 (2019): 1–21. http://dx.doi.org/10.22283/qbs.2019.38.1.1.

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4

Krämer, Walter. "Fractional integration and the augmented Dickey–Fuller Test." Economics Letters 61, no. 3 (1998): 269–72. http://dx.doi.org/10.1016/s0165-1765(98)00194-3.

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5

Dolado, Juan J., Jesus Gonzalo, and Laura Mayoral. "A Fractional Dickey-Fuller Test for Unit Roots." Econometrica 70, no. 5 (2002): 1963–2006. http://dx.doi.org/10.1111/1468-0262.00359.

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6

Bodhgire, Nandkumar Baburao. "Augmented Dickey - Fuller Unit Root Test for Household Saving." Asian Journal of Research in Banking and Finance 5, no. 8 (2015): 64. http://dx.doi.org/10.5958/2249-7323.2015.00101.7.

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7

Demetrescu, Matei. "On the Dickey–Fuller test with White standard errors." Statistical Papers 51, no. 1 (2008): 11–25. http://dx.doi.org/10.1007/s00362-007-0112-1.

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8

Sephton, Peter S. "Critical values of the augmented fractional Dickey–Fuller test." Empirical Economics 35, no. 3 (2008): 437–50. http://dx.doi.org/10.1007/s00181-007-0171-0.

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9

Cook, Steven. "Unit root testing in the presence of innovation variance breaks: a simple solution with increased power." Journal of Applied Mathematics 2, no. 5 (2002): 233–40. http://dx.doi.org/10.1155/s1110757x02107029.

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The Dickey-Fuller unit root test is known to suffer severe oversizing in the presence of innovation variance breaks. In this paper, forward and reverse Dickey-Fuller regressions are proposed as a means of correcting this size distortion. The results of Monte Carlo experimentation show such an approach to result in both satisfactory size properties and increased power relative to previously suggested solutions.
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10

Deng, Lu. "Augmented Dickey-Fuller Test and the Lag Length Selection Problem." Applied Mechanics and Materials 130-134 (October 2011): 3019–22. http://dx.doi.org/10.4028/www.scientific.net/amm.130-134.3019.

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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.
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