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Testing for unit roots with cointegrated data
Reed, W. Robert - 2015
This paper demonstrates that unit root tests can suffer from inflated Type I error rates when data are cointegrated. Results from Monte Carlo simulations show that three commonly used unit root tests - the ADF, Phillips-Perron, and DF-GLS tests - frequently overreject the true null of a unit...
Persistent link: https://www.econbiz.de/10011309691
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The effect of data transformation on common cycle, cointegration and unit root tests : Monte Carlo results and a simple test
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 132 (2006) 1, pp. 195-229
Persistent link: https://www.econbiz.de/10003320260
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A residual-based ADF test for stationary cointegration in I (2) settings
Gomez-Biscarri, Javier; Hualde, Javier - In: Journal of econometrics 184 (2015) 2, pp. 280-294
Persistent link: https://www.econbiz.de/10011339328
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Residuals-based tests for cointegration with generalized least-squares detrended data
Perron, Pierre; Rodríguez, Gabriel - In: The econometrics journal 19 (2016) 1, pp. 84-111
Persistent link: https://www.econbiz.de/10011487613
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Univariate unit root tests perform poorly when data are cointegrated
Reed, W. Robert - 2016 - Revised edition
Persistent link: https://www.econbiz.de/10011514491
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A residual-based ADF test for stationary cointegration in I (2) settings
Gómez Biscarri, Javier; Hualde, Javier - 2014
Persistent link: https://www.econbiz.de/10010425763
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Testing for unit roots with cointergated data
Reed, W. Robert - 2015
Persistent link: https://www.econbiz.de/10011296226
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Unit root tests, size distortions, and cointegrated data
Reed, W. Robert - 2014
Persistent link: https://www.econbiz.de/10011296518
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The effect of data transformation on common cycle, cointegration, and unit root tests : Monte Carlo results and a simple test
Corradi, Valentina (contributor);  … - 2003 - [Elektronische Ressource], Rev
In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related test statistics … substantive effect that incorrect transformation can have on the finite sample performance of common feature and cointegration …
Persistent link: https://www.econbiz.de/10001848931
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Economic growth and electricity consumption in india : an econometric analysis
Aneja, Ranjan; Mathpal, Megha - In: The Indian economic journal 70 (2022) 1, pp. 22-33
Persistent link: https://www.econbiz.de/10013257466