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

By Serena Ng, Pierre Perron. 2001

4,264 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/1ba843ad1c318113a78f6e66af22c4c99eb52937

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Muhammad Shahbaz
2. Ilhan Ozturk
3. Barbara Rossi
4. Avik Sinha
5. Sakiru Adebola Solarin
6. Mantu Kumar Mahalik
7. Alan M. Taylor
8. Usama Al-mulali

In Statistics and Probability

1. Pierre Perron
2. Giuseppe Cavaliere
3. Mark W. Watson
4. Alan M. Taylor
5. Barbara Rossi
6. Serena Ng
7. Muhammad Shahbaz
8. David I. Harvey

Citations in the corpus

• Convergence of Prices and Rates of Inflation (2006, positive): “After seasonal adjustment , we use ADF-type regressions to compute the statistics 1 and with number of lags chosen according to the modi…ed AIC criterion (MAIC) of Ng and Perron (2001).”
• Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production (2017, neutral): “Methodology 7 In the literature, the traditional tests for the stationarity include the work by Dickey and Fuller (1979), Elliot et al. (1996), Kwiatkowski et al. (1992), Ng and Perron (2001), Phillips and Perron (1988).”
• Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan (2009, methodology): “The numbers in the parentheses are the appropriate lag lengths selected by MAIC (modified Akaike information criterion) suggested by Ng and Perron (2001).”