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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Bibliographic Details
Main Author: Rivera, John Paolo R.
Format: text
Language:English
Published: Animo Repository 2009
Online Access:https://animorepository.dlsu.edu.ph/etd_masteral/4424
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Institution: De La Salle University
Language: English

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