Practitioner's corner: lag order and critical values of a modified Dickey-Fuller Test
Article Abstract:
A study on response surface analysis has shown that lag order produces a significant effect on finite-sample critical values of the modified Dickey-Fuller test, otherwise known as DF-GLS. Finite-sample critical values estimates also appear to correct for the effect of lag order. Estimates of critical values are not only generated for a few specific sample sizes but for a full range of sample sizes.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 1995
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Weak identification of forward-looking models in monetary economics
Article Abstract:
A study analyzing a method for the empirical identification of models such as, single-equation estimation by the generalized method of moments (GMM) most popular in monetary economics is presented. Such methods exploit their dynamic structure and the assumption of rational expectations.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 2004
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A note on the power of money-output causality tests
Article Abstract:
The degree of causality of money to output is examined. Autoregressive conditional heteroskedastic errors make a standard test less effective. An approach using maximum likelihood and accounting for errors shows a small but significant money effect on output.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 2001
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