Dickey-fuller tests with trend |
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| Authors: | Denis Kwiatkowski Peter Schmidt |
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| Institution: | 1. Department of Economics , Central Michigan University , Mount Pleasant, MI, 48859;2. Department of Economics , Michigan State University , East Lansing, 48824, MI |
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| Abstract: | The Dickey-Fuller rcirc]τ and pcirc]τ tests are based on a regression of a variable on its lagged value, an intercept, and a trend term. The distributions of both statistics depend on the coefficient of the trend, and the usual Dickey-Fuller tabulations assume that this coefficient equals zero. This paper provides tabulations for the case that the coefficient of the trend is non-zero. |
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| Keywords: | unit root time series Dickey-Fuller test |
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