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The behaviour of Dickey Fuller test in the case of noisy data: To what extent we can trust the outcome

By Stephen G. Hall and Sahar S. Qaqeesh

Abstract

Updated 18/09/2009.\ud Updated 21/09/2009.We examine the behaviour of Dickey Fuller test (DF) in the case of noisy data using Monte Carlo simulation. The findings show clearly that the size distortion of DF test becomes larger as the noise increases in the data

Topics: Hypothesis testing, Unit root test, Monte Carlo Analysis
Publisher: Dept. of Economics, University of Leicester
Year: 2009
OAI identifier: oai:lra.le.ac.uk:2381/7611

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