Scrutinizing the capacity of unit root tests in detecting non-stationary time series

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

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...