Univariate Unit Root Tests Perform Poorly When Data Are Cointegrated
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References listed on IDEAS
- Harris, R. I. D., 1992. "Testing for unit roots using the augmented Dickey-Fuller test : Some issues relating to the size, power and the lag structure of the test," Economics Letters, Elsevier, vol. 38(4), pages 381-386, April.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, Decembrie.
- Serena Ng & Pierre Perron, 2001.
"LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
- Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
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- repec:arp:tjssrr:2019:p:876-887 is not listed on IDEAS
- Nunzio Cappuccio & Diego Lubian, 2016. "Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series," Econometrics, MDPI, vol. 4(2), pages 1-11, April.
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More about this item
Keywords
Unit root testing; cointegration; DF-GLS test; Augmented Dickey-Fuller test; Phillips-Perron test; Monte Carlo; simulation;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-02-04 (Econometrics)
- NEP-ETS-2016-02-04 (Econometric Time Series)
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