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A note on the irrelevance of unit root tests and cointegration tests

Moawia Alghalith

Alghalith, Moawia

Jun 12, 2020

A note on the irrelevance of unit root tests and cointegration tests's Cover Image

Biometrical Letters

Volume 57 (2020): Issue 1 (June 2020)

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Published Online: Jun 12, 2020

Page range: 85 - 87

DOI: https://doi.org/10.2478/bile-2020-0007

Keywords
unit root test, Dicky–Fuller test, ADF test, cointegration test, non-stationarity

© 2020 Moawia Alghalith, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

We show that, in practice, the standard unit root tests, cointegration tests, and similar tests are unreliable. This conclusion is more generally applicable to other related regression-based tests. In particular, these tests attempt to solve a problem by creating another problem.

Language:: English

Publication timeframe:: 2 times per year
Journal Subjects:: Life Sciences, Bioinformatics, Life Sciences, other, Mathematics, Probability and Statistics, Applied Mathematics

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