Showing 1 - 10 of 91
Persistent link: https://www.econbiz.de/10011743462
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
Persistent link: https://www.econbiz.de/10011296226
Persistent link: https://www.econbiz.de/10011296518
Persistent link: https://www.econbiz.de/10011514491
Persistent link: https://www.econbiz.de/10011886667
Persistent link: https://www.econbiz.de/10010211238
Persistent link: https://www.econbiz.de/10010410199
Persistent link: https://www.econbiz.de/10012426562
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/10011307505