The DOI matches its Crossref record; 18 of the 18 references it cites were found in a registry or an index.
Lag Order and Critical Values of the Augmented Dickey–Fuller Test
Abstract
Response surface analysis is used to obtain approximate finite-sample critical values for the augmented Dickey–Fuller (ADF) test. Previous studies estimating the critical values for the test have generally ignored their possible dependence on the lag order. This study shows that the lag order, in addition to the sample size, can affect the finite-sample behavior of the test. The result points to the importance of correcting for the effect of lag order in applying the ADF test.
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Cites
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Critical Values for Cointegration Tests
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Cheung, Y., & Lai, K. S. (1993) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.1993.mp55003003.x · Cited by 1,205
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Breitung, J. (2004) · Advances in Econometrics · doi:10.1016/s0731-9053(00)15006-6 · Cited by 2,381
Time series forecasting of COVID-19 transmission in Canada using LSTM networks
Chimmula, V. K. R., & Zhang, L. (2020) · Chaos, Solitons & Fractals · doi:10.1016/j.chaos.2020.109864 · Cited by 1,075
Kripfganz, S., & Schneider, D. C. (2020) · Oxford Bulletin of Economics and Statistics · doi:10.1111/obes.12377 · Cited by 339
International evidence on the stock market and aggregate economic activity
Cheung, Y.-W., & Ng, L. K. (1998) · Journal of Empirical Finance · doi:10.1016/s0927-5398(97)00025-x · Cited by 329
Self-citationDistributions of error correction tests for cointegration
Ericsson, N. R., & MacKinnon, J. G. (2002) · The Econometrics Journal · doi:10.1111/1368-423x.00085 · Cited by 320
Metadata
- Authors
- Cheung, Y.-W., & Lai, K. S.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 1995-07
- Volume
- 13
- Issue
- 3
- Pages
- 277-280
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W2009588584
- Cited by
- 685
- References
- 18
- FWCI
- 26.78
- Type
- journal article
- Language
- en
- Open access
- closed
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- Cheung, Y.-W., & Lai, K. S. (1995). Lag Order and Critical Values of the Augmented Dickey–Fuller Test. Journal of Business & Economic Statistics. https://doi.org/10.1080/07350015.1995.10524601
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
