Liew, Venus Khim-Sen; Lau, Sie-Hoe; Ling, Siew-Eng - Volkswirtschaftliche Fakultät, … - 2005
This study shows that augmented Dickey-Fuller (ADF) test failed to detect covariance nonstationary series. Supportive of Ahamada (2004), this study finds that the cumulative sums of squares procedure in Inclán and Tiao (1994) is useful to complement the ADF test. As illustration, the ADF test...