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초록
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.
키워드
DF test; extended MA() model; persistency parameter
- 제목
- Unit root tests and their challenges
- 저자
- Kim, Seul Gee; Park, Cheolyong; Hwang, Sun-Young; Ha, Jeongcheol; Park, Inho; Kim, T.Y.
- 발행일
- 2024-04
- 유형
- Article
- 권
- 53
- 호
- 8
- 페이지
- 2840 ~ 2847