A simple modification to improve the finite sample properties of Ng and Perron's unit root tests

Efficient Tests for an Autoregressive Unit Root

Graham Elliott, Thomas J. Rothenberg, James H. Stock · Econometrica · 1996 · 5.6K citations

Computing, Economics, Econometrics +15

LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power

Serena Ng, Pierre Perrón · Econometrica · 2001 · 4K citations

Computing, Data Science, A/b Testing +14

Improving Size and Power in Unit Root Testing

Niels Haldrup, Michael Jansson · RePEc: Research Papers in Economics · 2005 · 36 citations

Natural Sciences, Economics, Econometrics +13

Improving Size and Power in the Unit Root Testing

Niels Haldrup, Michael Jansson · SSRN Electronic Journal · 2005 · 24 citations · Full text

Natural Sciences, Economics, Econometrics +13