{"title":"A note on the irrelevance of unit root tests and cointegration tests","authors":"Moawia Alghalith","doi":"10.2139/ssrn.3585865","DOIUrl":null,"url":null,"abstract":"Summary We show that, in practice, the standard unit root tests, cointegration tests, and similar tests are unreliable. This conclusion is more generally applicable to other related regression-based tests. In particular, these tests attempt to solve a problem by creating another problem.","PeriodicalId":8933,"journal":{"name":"Biometrical Letters","volume":"60 1","pages":"85 - 87"},"PeriodicalIF":0.0000,"publicationDate":"2020-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Biometrical Letters","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3585865","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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Abstract
Summary We show that, in practice, the standard unit root tests, cointegration tests, and similar tests are unreliable. This conclusion is more generally applicable to other related regression-based tests. In particular, these tests attempt to solve a problem by creating another problem.
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