Lag Order and Critical Values of the Augmented Dickey-Fuller Test

Cheung, Yin‐Wong; Lai, Kon S.

doi:10.2307/1392187

Cited by 192 publications

(147 citation statements)

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“…[Dickey and Fuller, 1979] derived the asymptotic distribution of the ADF test and showed that it is independent of the lag order k. [MacKinnon, 1991] used response surface analysis to obtain the approximate nite-sample critical values for any sample size for k = 1. Also using response surface analysis, [Cheung and Lai, 1995] extends the results of [MacKinnon, 1991] for k > 1. Their study has important implications for econometric practice since the test results can be a ected by the sample size and the lag order.…”

Section: Introductionsupporting

confidence: 68%

“…The critical values of the test are tabulated for k = 1 in most econometrics textbooks, e.g., [Fuller, 1976] and [Hamilton, 1994]. However, [Cheung and Lai, 1995] shows that the critical values are a ected by the lag order as well as the sample size. In an extensive Monte Carlo experiment, they obtain the improved critical values which take them into account.…”

Section: Replicationmentioning

confidence: 99%

“…In an extensive Monte Carlo experiment, they obtain the improved critical values which take them into account. [Cheung and Lai, 1995]'s Monte Carlo experiment is conducted in the following steps: STEP 1. Generate I(1) series…”

Section: Replicationmentioning

confidence: 99%

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Lag Order and Critical Values of the Augmented Dickey–Fuller Test: A Replication

Kulaksizoglu

2015

J of Applied Econometrics

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This paper replicates [Cheung and Lai, 1995], who use response surface analysis to obtain approximate nite-sample critical values adjusted for lag order and sample size for the augmented Dickey-Fuller test. We obtain results that are quite close to their results. We provide the Ox source code. We also provide a Windows application with a graphical user interface, which makes obtaining custom critical values quite simple.

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Section: Introductionsupporting

confidence: 68%

Section: Replicationmentioning

confidence: 99%

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Lag Order and Critical Values of the Augmented Dickey–Fuller Test: A Replication

Kulaksizoglu

2015

J of Applied Econometrics

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“…This unconventional relationship -that is typical for many middle income countries -suggests that a model with contract enforceability problems and bailout expectations, rather than the typical OCA model, provides an appropriate conceptual framework for the countries studied in this paper. Cheung and Lai (1995) were applied. ** indicate rejection of the existence of both, stochastic and deterministic, trends with a significance of 5%.…”

Section: Resultsmentioning

confidence: 99%

“…Lindenberg and F. Westermann 9 where y t = GDP at time t 13 , p = the lag parameter, t = an innovation term, and ∆ is the first difference operator. The lag parameter p is determined by the Schwarz information criterion (SIC) and the finite sample critical values from Cheung and Lai (1995) are used. The results of the ADF test are displayed in Table A.1 in the Appendix.…”

Section: A Test For Common Cycles and Codependencementioning

confidence: 99%

How Strong is the Case for Dollarization in Central America? An Empirical Analysis of Business Cycles, Credit Market Imperfections and the Exchange Rate

Lindenberg

Westermann

2010

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractIn this paper, we contrast two different views in the debate on official dollarization. The Mundell (1961) framework of optimal currency areas and a model on boom-bust cycles, by Schneider and Tornell (2004), who take account of credit market imperfections prevalent in middle income countries. We highlight that the role of the exchange rate is strikingly different in the two models. While in the Mundell framework the exchange rate is expected to smooth the business cycle, the other model predicts that the exchange rate plays an amplifying role. We empirically evaluate both models for eight highly dollarized Central American economies, and find that the main benefit of official dollarization derives from avoiding a mismatch between foreign currency liabilities and domestic revenues, as well as the boom-bust episodes that are likely to follow from it. Using a new method of Cubadda (1999Cubadda ( , 2007, we furthermore test for cyclical comovement and reject the hypothesis that the countries form an optimal currency area with the United States according to the Mundell definition.

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The COVID-19 Pandemic and In-Person Visit Rate Disruptions Among Patients With Hematologic Neoplasms in the US in 2020 to 2021

Goyal,

Lau,

Wang

et al. 2023

JAMA Netw Open

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ImportanceThe COVID-19 pandemic has led to a reduction in routine in-person medical care; however, it is unknown whether there have been any changes in visit rates among patients with hematologic neoplasms.ObjectiveTo examine associations between the COVID-19 pandemic and in-person visits and telemedicine use among patients undergoing active treatment for hematologic neoplasms.Design, Setting, and ParticipantsData for this retrospective observational cohort study were obtained from a nationwide electronic health record–derived, deidentified database. Data for patients with hematologic neoplasms who had received at least 1 systemic line of therapy between March 1, 2016, and February 28, 2021, were included. Treatments were categorized into 3 types: oral therapy, outpatient infusions, and inpatient infusions. The data cutoff date was April 30, 2021, when study analyses were conducted.Main Outcomes and MeasuresMonthly visit rates were calculated as the number of documented visits (telemedicine or in-person) per active patient per 30-day period. We used time-series forecasting methods on prepandemic data (March 2016 to February 2020) to estimate expected rates between March 1, 2020, and February 28, 2021 (if the pandemic had not occurred).ResultsThis study included data for 24 261 patients, with a median age of 68 years (IQR, 60-75 years). A total of 6737 patients received oral therapy, 15 314 received outpatient infusions, and 8316 received inpatient infusions. More than half of patients were men (14 370 [58%]) and non-Hispanic White (16 309 [66%]). Early pandemic months (March to May 2020) demonstrated a significant 21% reduction (95% prediction interval [PI], 12%-27%) in in-person visit rates averaged across oral therapy and outpatient infusions. Reductions in in-person visit rates were also significant for all treatment types for multiple myeloma (oral therapy: 29% reduction; 95% PI, 21%-36%; P = .001; outpatient infusions: 11% reduction; 95% PI, 4%-17%; P = .002; inpatient infusions: 55% reduction; 95% PI, 27%-67%; P = .005), for oral therapy for chronic lymphocytic leukemia (28% reduction; 95% PI, 12%-39%; P = .003), and for outpatient infusions for mantle cell lymphoma (38% reduction; 95% PI, 6%-54%; P = .003) and chronic lymphocytic leukemia (20% reduction; 95% PI, 6%-31%; P = .002). Telemedicine visit rates were highest for patients receiving oral therapy, with greater use in the early pandemic months and a subsequent decrease in later months.Conclusions and RelevanceIn this cohort study of patients with hematologic neoplasms, documented in-person visit rates for those receiving oral therapy and outpatient infusions significantly decreased during the early pandemic months but returned to close to projected rates in the later half of 2020. There were no statistically significant reductions in the overall in-person visit rate for patients receiving inpatient infusions. There was higher telemedicine use in the early pandemic months, followed by a decline, but use was persistent in the later half of 2020. Further studies are needed to ascertain associations between the COVID-19 pandemic and subsequent cancer outcomes and the evolution of telemedicine use for care delivery.

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Lag Order and Critical Values of the Augmented Dickey-Fuller Test

Cited by 192 publications

References 0 publications

Lag Order and Critical Values of the Augmented Dickey–Fuller Test: A Replication

Lag Order and Critical Values of the Augmented Dickey–Fuller Test: A Replication

How Strong is the Case for Dollarization in Central America? An Empirical Analysis of Business Cycles, Credit Market Imperfections and the Exchange Rate

The COVID-19 Pandemic and In-Person Visit Rate Disruptions Among Patients With Hematologic Neoplasms in the US in 2020 to 2021

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