Biometrical Letters

ISSN:1896-3811

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Volume (57) Number 1 pp. 85-87

Moawia Alghalith 1

1Economics Department, University of the West Indies, St Augustine, Trinidad and Tobago

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

Summary

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.

Keywords: unit root test, Dicky–Fuller test, ADF test, cointegration test, non-stationarity
https://content.sciendo.com/downloadpdf/journals/bile/57/1/article-p85.pdf Full text available in Adobe Acrobat format

DOI: 10.2478/bile-2020-0007

For citation:

MLA Alghalith, Moawia. "A note on the irrelevance of unit root tests and cointegration tests." Biometrical Letters 57.1 (2020): 85-87. DOI: 10.2478/bile-2020-0007
APA Alghalith, M. (2020). A note on the irrelevance of unit root tests and cointegration tests. Biometrical Letters 57(1), 85-87 DOI: 10.2478/bile-2020-0007
ISO 690 ALGHALITH, Moawia. A note on the irrelevance of unit root tests and cointegration tests. Biometrical Letters, 2020, 57.1: 85-87. DOI: 10.2478/bile-2020-0007