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

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• 作者：W. Robert Reed^a ; ^{bob.reed@canterbury.ac.nz} ; Aaron Smith^b ; ^{adsmith@ucdavis.edu}
• 关键词：C32 ; C22 ; C18
• 刊名：Economics Letters
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：151
• 期：Complete
• 页码：71-74
• 全文大小：542 K
• 卷排序：151

文摘

Presence of a unit root in individual time series is required for cointegration. Cointegration makes standard unit root tests more likely to reject a unit root null. The paradox arises because cointegration induces a moving average (MA) component. The cointegration-induced MA component causes unit root tests to be oversized.