A time series paradox: unit root tests perform poorly when data are cointegrated (Q1672798)
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scientific article; zbMATH DE number 6934738
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A time series paradox: unit root tests perform poorly when data are cointegrated |
scientific article; zbMATH DE number 6934738 |
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A time series paradox: unit root tests perform poorly when data are cointegrated (English)
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11 September 2018
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unit root testing
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cointegration
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augmented Dickey-Fuller test
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Akaike information criterion (AIC)
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Bayesian information criterion (BIC)
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modified Akaike information criterion (MAIC)
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0.7135109305381775
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0.7113198041915894
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0.7089325785636902
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0.7053560018539429
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