A time series paradox: Unit root tests perform poorly when data are cointegrated

W. Reed () and Aaron Smith

Economics Letters, 2017, vol. 151, issue C, 71-74

Abstract: Cointegration among times series paradoxically makes it more likely that a unit test will reject the unit root null hypothesis on the individual series. This occurs because at least one series in the system has a negative moving average component.

Keywords: Unit root testing; Cointegration; Augmented Dickey–Fuller test; Akaike Information Criterion (AIC); Bayesian Information Criterion (BIC); Modified Akaike Information Criterion (MAIC) (search for similar items in EconPapers)
JEL-codes: C18 C22 C32 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176516305043
Full text for ScienceDirect subscribers only

Related works:
Working Paper: A Time Series Paradox: Unit Root Tests Perform Poorly When Data Are Cointegrated (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:151:y:2017:i:c:p:71-74

DOI: 10.1016/j.econlet.2016.12.005

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().