Journal of Applied Mathematics
Volume 2 (2002), Issue 5, Pages 233-240
doi:10.1155/S1110757X02107029
Abstract
The Dickey-Fuller unit root test is known to suffer severe
oversizing in the presence of innovation variance breaks. In this
paper, forward and reverse Dickey-Fuller regressions are proposed
as a means of correcting this size distortion. The results of
Monte Carlo experimentation show such an approach to result in
both satisfactory size properties and increased power relative to
previously suggested solutions.