A time series paradox: unit root tests perform poorly when data are cointegrated

DOI10.1016/J.ECONLET.2016.12.005zbMath1396.62217OpenAlexW2540274140MaRDI QIDQ1672798

Peng Zhang

Publication date: 11 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://repec.canterbury.ac.nz/cbt/econwp/1619.pdf

zbMATH Keywords

cointegrationBayesian information criterion (BIC)unit root testingaugmented Dickey-Fuller testAkaike information criterion (AIC)modified Akaike information criterion (MAIC)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Statistical aspects of information-theoretic topics (62B10)

Cites Work

• Unnamed Item
• Optimal Inference in Cointegrated Systems
• Testing for unit roots in autoregressive-moving average models of unknown order
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Efficient Tests for an Autoregressive Unit Root

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