Download This PaperF Versus T Tests for Unit Roots
Economics Bulletin, Vol. 3, No. 3 pp. 1-6, 2001
7 Pages Posted: 12 Feb 2001 Last revised: 9 Jul 2008
Date Written: Febuary 2001
Abstract
F tests which test jointly for a unit root and a zero intercept, and so compete against Dickey-Fuller t tests, are shown not to enhance power because they are invariant to the intercept value in the absence of a unit root. Monte Carlo results in the literature that indicate otherwise are shown to have resulted from the use of special starting values. Testing procedures that employ these F tests to enhance power should be revised by omitting them.
Keywords: Unit root tests, Dickey-Fuller tests, Power
JEL Classification: C22, G14
Suggested Citation: Suggested Citation
Elder, John and Kennedy, Peter E., F Versus T Tests for Unit Roots (Febuary 2001). Economics Bulletin, Vol. 3, No. 3 pp. 1-6, 2001, Available at SSRN: https://ssrn.com/abstract=258952 or http://dx.doi.org/10.2139/ssrn.258952
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