Biometrical Letters Vol. 57(1), 2020, pp. 85-87
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A NOTE ON THE IRRELEVANCE OF UNIT ROOT TESTS AND COINTEGRATION TESTS Moawia Alghalith Economics Department, University of the West Indies, St Augustine, Trinidad and Tobago, e-mail: malghalith@gmail.com |
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.
unit root test, Dicky–Fuller test, ADF test, cointegration test, non-stationarity
