A note on the irrelevance of unit root tests and cointegration tests
| 12. Juni 2020
Über diesen Artikel
Online veröffentlicht: 12. Juni 2020
Seitenbereich: 85 - 87
DOI: https://doi.org/10.2478/bile-2020-0007
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© 2020 Moawia Alghalith, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
We show that, in practice, the standard unit root tests, cointegration tests, and similar tests are unreliable. This conclusion is more generally applicable to other related regression-based tests. In particular, these tests attempt to solve a problem by creating another problem.