Unit root tests and their challenges

被引：0
|
作者：
Kim, Seul Gee [1 ]
Park, Cheolyong [2 ]
Hwang, Sun-Young [3 ]
Ha, Jeongcheol [2 ]
Park, Inho [4 ,5 ]
Kim, Tae Yoon [2 ]
机构：
[1] Korea Inst Oriental Med, Dajeon, South Korea
[2] Keimyung Univ, Dept Stat, Daegu, South Korea
[3] Sookmyung Womens Univ, Dept Stat, Seoul, South Korea
[4] Pukyong Natl Univ, Dept Stat, Pusan 5991, South Korea
[5] Pukyong Univ, Dept Stat, Pusan 48513, South Korea
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2024年 / 53卷 / 08期
基金：
新加坡国家研究基金会;
关键词：
extended MA(infinity) model; persistency parameter; DF test; TIME-SERIES;
D O I：
10.1080/03610926.2022.2150050
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The Dickey-Fuller test (DF test) and its various modified versions have been widely used for unit root or random walk testing, though advices are necessary regarding their proper use in hands-on statistical algorithm software. In this paper, we review the development of such tests over several decades. We examine why such modified versions of DF tests were developed and proper instructions regarding their use are essential. In addition, we discuss a simple way to overcome this hurdle.
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页码：2840 / 2847
页数：8
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