Distribution of Small Sample DF Statistic

Xiao Tong ZHANG;Okawa Tsutomu;Shi Ying ZHANG

Systems Engineering - Theory & Practice ›› 1999, Vol. 19 ›› Issue (3) : 31-37.

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PDF(242 KB)
Systems Engineering - Theory & Practice ›› 1999, Vol. 19 ›› Issue (3) : 31-37. DOI: 10.12011/1000-6788(1999)3-31
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Distribution of Small Sample DF Statistic

  • Xiao Tong ZHANG(1),Okawa Tsutomu(2),Shi Ying ZHANG(1)
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Abstract

In this paper we investigated the DF distribution with sample size under 55 by Monte Carlo simulation and gave a critical table for DF tests with test level of 0.01, 0.05 and 0.1. We also analyzed the test power of DF statistic in small samples. Because the maximum observations of annual economic time series for some countries are not so large, the research on small sample distribution of DF and ADF statisticis is very necessary.

Key words

unit root / Wiener process / Monte Carlo simulation

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Xiao Tong ZHANG , Okawa Tsutomu , Shi Ying ZHANG. Distribution of Small Sample DF Statistic. Systems Engineering - Theory & Practice, 1999, 19(3): 31-37 https://doi.org/10.12011/1000-6788(1999)3-31
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