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

C-Tier
Journal: Economics Letters
Year: 2017
Volume: 151
Issue: C
Pages: 71-74

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:151:y:2017:i:c:p:71-74
Journal Field
General
Author Count
2
Added to Database
2026-01-29