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Unit root tests and their challenges

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  • Seul Gee Kim
  • Cheolyong Park
  • Sun-Young Hwang
  • Jeongcheol Ha
  • Inho Park
  • Tae Yoon Kim

Abstract

The Dickey-Fuller test (DF test) and its various modified versions have been widely used for unit root or random walk testing, though advices are necessary regarding their proper use in hands-on statistical algorithm software. In this paper, we review the development of such tests over several decades. We examine why such modified versions of DF tests were developed and proper instructions regarding their use are essential. In addition, we discuss a simple way to overcome this hurdle.

Suggested Citation

  • Seul Gee Kim & Cheolyong Park & Sun-Young Hwang & Jeongcheol Ha & Inho Park & Tae Yoon Kim, 2024. "Unit root tests and their challenges," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 53(8), pages 2840-2847, April.
    • Handle: RePEc:taf:lstaxx:v:53:y:2024:i:8:p:2840-2847
    DOI: 10.1080/03610926.2022.2150050
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