<abstract xmlns="http://www.w3.org/1999/xhtml"><p>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.</p></abstract>

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.

A note on the irrelevance of unit root tests and cointegration tests

Biometrical Letters

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

{"article-title":"A note on the irrelevance of unit root tests and cointegration tests"}

We show that, in practice, the standard unit root tests, cointegration tests, and similar tests are unreliable. This conclusion is more generally applicable to...

A note on the irrelevance of unit root tests and cointegration tests

Publié en ligne: 12 juin 2020

Pages: 85 - 87

DOI: https://doi.org/10.2478/bile-2020-0007

Mots clés
unit root test, Dicky–Fuller test, ADF test, cointegration test, non-stationarity

© 2020 Moawia Alghalith, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

A note on the irrelevance of unit root tests and cointegration tests

Publié en ligne: 12 juin 2020

Pages: 85 - 87

DOI: https://doi.org/10.2478/bile-2020-0007

Mots clésunit root test, Dicky–Fuller test, ADF test, cointegration test, non-stationarity

© 2020 Moawia Alghalith, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Mots clés
unit root test, Dicky–Fuller test, ADF test, cointegration test, non-stationarity