Covariate unit root tests with good size and power

@article{Fossati2012CovariateUR,
  title={Covariate unit root tests with good size and power},
  author={Sebastian Fossati},
  journal={Computational Statistics & Data Analysis},
  year={2012},
  volume={56},
  pages={3070-3079}
}
The selection of the truncation lag for covariate unit root tests is analyzed using Monte Carlo simulation. It is shown that standard information criteria such as the BIC or the AIC can result in tests with large size distortions. Modified information criteria can be used to construct tests with good size and power. An empirical illustration is provided.