A note on the irrelevance of unit root tests and cointegration tests
نویسندگان
چکیده
منابع مشابه
the washback effect of discretepoint vs. integrative tests on the retention of content in knowledge tests
در این پایان نامه تاثیر دو نوع تست جزیی نگر و کلی نگر بر به یادسپاری محتوا ارزیابی شده که نتایج نشان دهندهکارایی تستهای کلی نگر بیشتر از سایر آزمونها است
15 صفحه اولUnit Root and Cointegration Tests with Wavelets∗
This paper develops a wavelet (spectral) approach to test the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process. By decomposing the variance (energy) of the underlying process into the variance of its low frequency components ...
متن کاملBootstrap Unit Root Tests
We consider the bootstrap unit root tests based on finite order autoregressive integrated models driven by iid innovations, with or without deterministic time trends. A general methodology is developed to approximate asymptotic distributions for the models driven by integrated time series, and used to obtain asymptotic expansions for the Dickey–Fuller unit root tests. The second-order terms in ...
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ژورنال
عنوان ژورنال: Biometrical Letters
سال: 2020
ISSN: 1896-3811
DOI: 10.2478/bile-2020-0007