Selection of Unit Root Test on the Basis of Time Series Length and Value of AR(1) Parameter
An important task in econometric modelling is to determinate the integration order of analysed time series through unit root tests. Statistical theory offers a wide range of tests where the most common are Dickey-Fuller tests, Phillips-Perron test, KPSS test, and their modifications ADF-GLS test and...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Czech Statistical Office
2016-09-01
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| Series: | Statistika: Statistics and Economy Journal |
| Subjects: | |
| Online Access: | https://www.czso.cz/documents/10180/32912822/32019716q3047.pdf/09710b90-e1d0-4bb1-816e-5b83faad686b?version=1.0 |