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

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

Biometrical Letters

Volume 57 (2020): Issue 1 (June 2020)

By: Moawia Alghalith

Open Access

|Jun 2020

References

Alghalith M. (2018): The perfect regression and causality test: A solution to regression problems. Biometrical Letters 55: 45–4810.2478/bile-2018-0004
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Alghalith M. (2019): A simple solution to the specification error. Biometrical Letters 56: 13–16.10.2478/bile-2019-0002
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Luitel H.S., Mahar G.J. (2015): Why Most Published Results on Unit Root and Cointegration are False. SSRN: https://ssrn.com/abstract=2628645.10.2139/ssrn.2628645
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Moosa I. (2011): The Failure of Financial Econometrics: Assessing the Cointegration “Revolution”. The Capco Institute Journal of Financial Transformation, Applied Finance # 32.
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Moosa I. (2017): Blaming suicide on NASA and divorce on margarine: the hazard of using cointegration to derive inference on spurious correlation. Applied Economics 49: 1483–1490.10.1080/00036846.2016.1218434
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DOI: https://doi.org/10.2478/bile-2020-0007 | Journal eISSN: 2199-577X | Journal ISSN: 1896-3811

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Language: English

Page range: 85 - 87

Published on: Jun 12, 2020

Published by: Polish Biometric Society

In partnership with: Paradigm Publishing Services

Publication frequency: 2 issues per year

Keywords:

unit root test,

Dicky–Fuller test,

cointegration test,

non-stationarity

Related subjects:

Bioinformatics,

Life sciences, other,

Probability and statistics,

Applied mathematics

© 2020 Moawia Alghalith, published by Polish Biometric Society
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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