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
Externally publishedYes

Fingerprint

Sample size
Unit root
Chi-square test
Dickey-Fuller test

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

A chi-square test for a unit root. / Kahn, James A.; Ogaki, Masao.

In: Economics Letters, Vol. 34, No. 1, 1990, p. 37-42.

Research output: Contribution to journalArticle

Kahn, James A. ; Ogaki, Masao. / A chi-square test for a unit root. In: Economics Letters. 1990 ; Vol. 34, No. 1. pp. 37-42.
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