This preview shows pages 1–2. Sign up to view the full content.
This preview has intentionally blurred sections. Sign up to view the full version.View Full Document
Unformatted text preview: 1 9991 ADF 1 ARIMA(0,1,q) 2 ADF ADF ARIMA(0,1,q) ADF ADF ADF F224.0 A The Lag Length Selection in Augmented Dickey-Fuller test: Simulation Evidence from an ARIMA(0,1,q) Process Abstract: The optimal lag length in estimating Augmented Dickey-Fuller statistics have been concentrated on for years. Previous research indicated that different leg length selection models affect a lot on the statistical inference of ADF test. Based on all the researches available, this paper simulates a more general ARIMA(0,1,q) process and analyzes the influence of lag length selection criterions to the size and power of the ADF test with different data generating processes, ADF regressions, and sample sizes. Finally, it is proved that the Modified Information Criteria always shows a more proper size and the General to Special Criteria has more robust properties in ADF test. Keywords: ADF test Lag Length Information Criteria Modified Information Criteria General to Specific Dickey Fuller(1979, 1981) 3 ADF y t ARIMA ( p ,1,0) k p ADF ADF p k (rule of thumb) k k k Akaike(1973)(Akaike Information Criteria AIC )Schwarz(1978)(Schwarz Information Criteria SIC )Hannan Quinn(1979)(Hannan and Quinn Information Criteria HQIC )(General to Special Criteria GSC )(Special to General Criteria SGC )Weber(1998)(No...
View Full Document
- Spring '11