A chi-square test for a unit root

James A. Kahn, Masao Ogaki

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)37-42
Number of pages6
JournalEconomics Letters
Volume34
Issue number1
DOIs
Publication statusPublished - 1990 Sep

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ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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