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

DOI10.1016/j.econlet.2016.12.005zbMath1396.62217MaRDI 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

cointegration; Bayesian information criterion (BIC); unit root testing; augmented Dickey-Fuller test; Akaike information criterion (AIC); modified Akaike information criterion (MAIC)

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M07: Non-Markovian processes: hypothesis testing

62B10: Statistical aspects of information-theoretic topics