Unit root tests and their challenges

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

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 8, 2840-2847

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.

Date: 2024
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DOI: 10.1080/03610926.2022.2150050

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