A time series paradox : unit root tests perform poorly when data are cointegrated
W. Robert Reed, Aaron Smith
| Year of publication: |
February 2017
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|---|---|
| Authors: | Reed, W. Robert ; Smith, Aaron D. |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 151.2017, p. 71-74
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| Subject: | Unit root testing | Cointegration | Augmented Dickey-Fuller test | Akaike Information Criterion (AIC) | Bayesian Information Criterion (BIC) | Modified Akaike Information Criterion (MAIC) | Einheitswurzeltest | Unit root test | Kointegration | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2016.12.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011742136