Which of the following are probably valid criticisms of the Dickey Fuller methodology?
(I) The tests have a unit root under the null hypothesis and this may not be rejected due to insufficient information in the sample
(ii) the tests are poor at detecting a stationary process with a unit root close to the non-stationary boundary
(iii) the tests are highly complex to calculate in practice
(iv) the tests have low power in small samples
A) (i), (ii), (iii) and (iv)
B) (i), (ii), and (iv) only
C) (i) and (iii) only
D) (ii) only

Question

Quizplus · Accepted Answer

The Dickey Fuller methodology is criticized for potentially not rejecting a unit root due to insufficient sample information (i), being poor at detecting stationary processes near the non-stationary boundary (ii), and having low power in small samples (iv). The complexity of calculation (iii) is not typically considered a major issue with modern computing resources.

Which of the Following Are Probably Valid Criticisms of the Dickey