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Unit root tests and their challenges

Authors
Kim, Seul GeePark, CheolyongHwang, Sun-YoungHa, JeongcheolPark, InhoKim, T.Y.
Issue Date
Apr-2024
Publisher
Taylor and Francis Ltd.
Keywords
DF test; extended MA() model; persistency parameter
Citation
Communications in Statistics - Theory and Methods, v.53, no.8, pp 2840 - 2847
Pages
8
Journal Title
Communications in Statistics - Theory and Methods
Volume
53
Number
8
Start Page
2840
End Page
2847
URI
https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/159843
DOI
10.1080/03610926.2022.2150050
ISSN
0361-0926
1532-415X
Abstract
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. © 2022 Taylor & Francis Group, LLC.
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