Abstract
The asymptotic distribution of the augmented Dickey–Fuller [ADF] test computed using heteroscedasticity-consistent (White) standard errors is examined. Conditions are given, under which the so-called DF-White test and the usual ADF test are asymptotically equivalent under the null hypothesis and under a local alternative. While the small-sample distribution of both tests react sensitively to the degree of persistence in the conditional variance, this is not the case with simple combinations of the ADF and the DF-White tests.
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I am grateful to Uwe Hassler and Adina I. Tarcolea, as well as two anonymous referees and an associate editor for very helpful suggestions and comments.
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Demetrescu, M. On the Dickey–Fuller test with White standard errors. Stat Papers 51, 11–25 (2010). https://doi.org/10.1007/s00362-007-0112-1
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DOI: https://doi.org/10.1007/s00362-007-0112-1