Scrutinizing the capacity of unit root tests in detecting non-stationary time series
Time series data such as asset prices, gross domestic product, and exchange rates almost always exhibit non-stationary in the mean. Hence, a mandatory econometric task before performing time series analysis is to determine whether the series is stationary to avoid spurious regression results. Non-st...
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| Format: | text |
| Language: | English |
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Animo Repository
2009
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| Online Access: | https://animorepository.dlsu.edu.ph/etd_masteral/4424 |
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| Institution: | De La Salle University |
| Language: | English |