Topic Survey Methodology and Data-Science

Unusual Behaviour of Dickey-Fuller Tests in the Presence of Trend Misspecification: Comment

Moyes, P., Seidl, C., and Shorrocks, A. (Eds.): Inequalities: Theory, Experiments and Applications. Journal of Economics/Zeitschrift für Nationalökonomie, Supplement 9, XI, 363 pp. Springer, Wien, New York, 2002

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The CHER Project

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A Nation-Wide Laboratory: Examining Trust and Trustworthiness by Integrating Behavioral Experiments into Representative Surveys

A Nation-Wide Laboratory: Examining Trust and Trustworthiness by Integrating Behavioral Experiments into Representative Surveys

Unusual Behaviour of Dickey-Fuller Tests in the Presence of Trend Misspecification: Comment

In this paper we present explanation on the phenomenon pointed out in Cook and Manning (2002) on the unusual behaviour of the Dickey-Fuller test in the presence of trend misspecification. It appears that the rejection frequency of the unit root tests in the presence of trend misspecification is very sensitive to the number of the initial observations that need to be discarded. Based on the evidence ...