A chi-square test for a unit root

James A. Kahn; Masao Ogaki

doi:10.1016/0165-1765(90)90178-4

A chi-square test for a unit root

James A. Kahn, Masao Ogaki

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

Abstract

The present paper develops a chi-square test for a unit root that has higher power than Dickey-Fuller tests when the sample size is small and the autoregressive root is close to one.

Original language	English
Pages (from-to)	37-42
Number of pages	6
Journal	Economics Letters
Volume	34
Issue number	1
DOIs	https://doi.org/10.1016/0165-1765(90)90178-4
Publication status	Published - 1990 Sept
Externally published	Yes

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/0165-1765(90)90178-4

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A chi-square test for a unit root

Abstract

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