A Time Series Paradox: Unit Root Tests Perform Poorly When Data are Cointegrated. Reed, W R. & Smith, A. *Economics Letters*, 151:71–74, North-Holland, 2017.

Paper abstract bibtex 6 downloads

Paper abstract bibtex 6 downloads

Cointegration among time series paradoxically makes it more likely that a unit test will reject the unit root null hypothesis on the individual series. This occurs because at least one series in the system has a negative moving average component.

@article{reed2017time, title={A Time Series Paradox: Unit Root Tests Perform Poorly When Data are Cointegrated}, author={Reed, W Robert and Smith, Aaron}, journal={Economics Letters}, volume={151}, pages={71--74}, year={2017}, url={https://files.asmith.ucdavis.edu/2017_EL_RS_unitroot}, keywords={econometrics}, abstract={Cointegration among time series paradoxically makes it more likely that a unit test will reject the unit root null hypothesis on the individual series. This occurs because at least one series in the system has a negative moving average component.}, publisher={North-Holland} }

Downloads: 6

{"_id":"c6QoHuqawgG9Ywx8E","bibbaseid":"reed-smith-atimeseriesparadoxunitroottestsperformpoorlywhendataarecointegrated-2017","authorIDs":["22niHWSxCWTmnaQbB","2NZzYE3d3gSHD27Gn","2PNZTYaGqxFapEPZZ","2er9ners3kix5Chjh","2fZSPnQyo9ahtXPYM","3PqRga7NH6pwgwahB","3Tdo9kzKh8u7c7Ajo","3dzedsKnAWimvtufn","3hvR7p8tkYyLjDs4j","3nHQWTXeJtx5aZuYs","3ofsHTJd5adCSJP5n","4CpwWEzCTDLczBiqm","4cntbYJPqpJDug4fS","54HPLDS88BEJvxZ9J","55G3CGNyj2PsKgSKu","5AjodFN3WpZT7c4zP","5CLHeqAPmxxkqj488","5K5LMi7AytY43FSxN","5YdNXr26x7pfZ6Cqq","5amQQM5eASSFYG3dT","5qmLKGZrYxDekAmei","5ryaA58jWEfwLkjRc","6LWYe4zx6XpcZw7oH","6ZTbN2G5GecX2dDZT","6dtG8ycrehdr6KK65","6jyETZNgorWaoZJSj","6w4Z3xCwynQdjGz7P","76srSk5EgNSrsiTx2","77mCbGKiF9wheqcou","7K6qmXmTXeghwHjSH","7Ppw5FN9Z4QfL3yj2","7WguRZ2aMWyaL2xoX","7oJmZurxTrhZdCMS2","8A7BN33X4qxkG4EcG","8C8kTFyizopgPHpLT","8KNxukMgtpz6N839k","9LJKJosTn7vJBSYye","9Qnr9PFLJRr6JGx9C","9Xz4ztQjerkZNjEJ7","9jQsQ8bYpnfkssHMz","9zYre9cAzhtrtTaLd","AyySi26mvfqdSiQAq","BH8nddrLMyyyogHuT","BKJTjDugfzK4xEFiL","BWwJwoMWvPLShAtiy","BXkYdj8EA5MHKQ5NZ","Bx3fuG7fmsE7CteNA","C4i7TivfeoufzanRR","CJrpARQaAFku4sms7","CLoKHTgocsrNww9SX","CQykWkkkcHrWq2XYC","CZZAQ52ABEcAsvdoJ","CZqsMr6DnNR8RnE8M","CaSWrr4dgTCF73ut5","CotJXijtDaZkhmCe8","CwqGR6xQaZ6qJHqFd","D2j5tBCn8KxYRySkC","DT8ZCLDNkZYqPq2p4","DaMZF2gdWrDvWLskp","Dg3MERvQt9xonaNAd","Ert6YRvy62j7CoQjK","ExybCgJCkLL4uWfrb","FXyS3bYEv5TJ6rP3X","FbTKmvz5iKXfCuq92","Fsvams7RFXXS87ve4","G45nHCnpbygmEJbNp","GARohmnxsDJE8AKer","GGQtnAn3Ed9ho4Kge","GLZ9ZRN53NqHowh6j","GPS8e6bin43y5Yhr8","GeN3Pa7aSuHiAKtiB","GgxftFqiNsQYXPYMJ","Gjyww4MMxer7SuLDQ","GtSZR5hrHkx8MthSo","Hkoat94EckrjyeXY3","J2o7RK4Yi9Qdrgqbo","J6ja5msgeQukpzx9q","JC37fCgtgNW2tpbRR","JLJZqQvvWHPJK8Kyg","JMCdCLdzhjeZaPwEt","JWgZbfnfdjgTweGMt","Jj2NN6mvepgKRdbdD","JzEJf3ZHytWAN6tZC","K6rZFC7d35euFJmG5","KJoD4ME6fuZWEWWJ6","KQwDpJk23AKcD8BTM","KXZviLWSJsc5RxSMg","Kmqfe55JEcBMHHndi","KqwBPzECoSTsiouMm","KuTnXBnFvzHvYo9fj","KxhmC3ozfW3qhncqZ","L4NsXs8o69NH7Zvga","L7qsoDp59fFKTQmy7","LGQ9YuE9sBuytpXfB","LX7dSHSNwYkNDqyKM","LZDqniYQXoMzf9xAK","Lb5KCewHXZuksSnpr","LdLjMjLaWRTBAkF8u","LkZ6mxitP2GtyXRC7","MKwdDooQAmaonagNB","MRadTGzjvu9b63CAk","MhjBBSDTe9xE53wDq","NEfPjPMcZxKfeXesE","NF9BaRkSRobZPGjXJ","NHWFgWzjaqmZuBkPa","NpEhzDyojP6MW9cax","NpoRewKZvCg2v5cuX","NpusHoq7N3Y4msyjk","NuBDdR9tvZAkirRxL","P5J2WTfSzgWp7nCcM","Q3wPonKWvfEGhYtvm","Q8qwMFQj5GitMqPiP","QAmiSKq47qKEuyPyr","QFYrXmnPvJCnBqGjS","QNfikgdwt6brACECx","Qdnvp6M6AWJv9q495","QwwqL3kppRrCoHkH8","RDTy55mjf85yCqDKa","RMjmG3jhTfCRM8kfq","RcWAu65s6G44BZkM3","RtzcgWpaSxnNbE9PY","RyL7mbf5MzduWhvY6","Rzfm6gKmhkhwimec5","S4ECWmtHop3mRDJzZ","SYbnZb7AfDpzxDLT8","SedcjaCF8Ws4isCHd","StAmowpxaWWKGgxZ7","TDMQWxGnoRXLHjJYw","TKP2duo4aJjq5gXaB","TtcWmQ3fKSyokyDjN","W2vJ7sEk33w6MZZLx","WDQoJMcDYAihe3EA2","WLTXeA5HiFuxb3jNY","WeDfcF97PBhavzQFA","Whx3x222rpqKjndzv","WsmpGiTyEy7TvoWTq","X7LkxmzbFPhSKiAaT","XBFYTPFYbEbcAaKzB","XhHMDzgoZkgZCfToh","YBwy27SuzcEExbEoD","YNfWEyw9pzXLaPzoH","YakaY2yohhzufyWJE","YkmhdKL6YDj4jNk7F","ZH8AhKzhQWJkBoKKs","ZaPaxw8qsL9iJaZsY","ZetwkbhiAB7kYwCyy","ZfcNyTdd7tgBx6f2z","ZjJJ7zW4Sbz8tHexL","aD7c7C95h4rxKyYyH","aJDe5ziRrSWpSLuk6","aYu2FhHAaGNS4bMQx","aZBnSfTCNJrDiTefq","ahZQqZBc6tKi3bfwc","aqMuTDBEEc7wtzRSu","aqZu7RCTN5jXugqR6","b3d6Td6roRhwQoQ9h","bA37rwamrcSP5wZMK","bBTZaBgZHQsfakYzf","bJJrzJZp2F784jAQ7","bdLvjpZm8inraRKd5","beRmzfkQABPwPZWWX","c2ERGwQTt3NofhnMt","cDaF4XR6vLmHuzHDt","cXBHRysQrdhzy9f8H","cdSryM66E5gm7fKYW","cgfBHRXYT6uzt2nLd","chm5MgcwAp4szYfz8","ciFxTmQqT5oWaBmd8","cidL8wGkbmxWrazrj","cqAoFP27jBJ4mvKN7","d2RNKGmPoBBhAvkTv","dGa2PukjGa3gi7Eis","dRfcq2v7DyRupoJMH","dtM6mHJP3vZkSJiuH","e5xR8DXiGLNy2tbCe","ebjnseHcuRg5KPAmS","f4bfXckdz8PGDa4Hr","fjKRcp7ZcDHAtELuX","ftWdFZNKwZmRxh86x","fvm3xrxgxTwPzFyYF","g2zawvSGuxrMJ6BqF","gHHMd7w72KL75GWty","gJT5Bjn8Bnf8bCTSC","h48HmZNkHY4W58xCW","h4daMGzK6LQ6d2KrZ","hFxP3vjLB7QvoCfzm","hMMMbpCy6bEDn8d5K","hQESd5JQ5Tvq2mnsy","hTHgSmeY3SfCNwjvH","hdgGPWj5icJyJAEwR","hgijCFLtJi3Qs8kyA","hpW2GcwGhbiexcAxw","iHNyJeFtfbiQkHxYJ","iKpyehZWTBhkdNieW","ibdoGJbQFMGYNBtqT","ihyok22AuXZEPTGpf","izS42p968Ttk7fkmp","j7sLF36Ya3LyWtCzG","jEzyYZyzu47GBKynG","jcXh5kNDqwuRwWubg","jcY3ozbk2EPnhWY3i","jfKWBkZRLLKAsrtef","jiM2x5ZuwtLNJwHaT","ju22S9NhuPwKyoE7j","k45jpmzbx7YygqLKS","k7aKASfwfRXfFuLYx","kMYiTes3v8N7uJ2xZ","kpHyuadYQsQq7DctB","kqhdkv9BzAGpMfmr4","kt8LBZhMcbWtTefof","ky9X8PbNhtQPHE8La","kyKfqKxMPDgYYvNL3","m2gmTuJ7r8u588BZQ","mGGBzF3P4MuDbuBEf","mP43CPHS9MtG89yDc","mmSb6L4sb43bw99YW","mmT8GPer7Xcn2fD6j","mziuLWjAfjFe6GT7c","n4D4YrGe28dJ2Gsf5","nBErPk6i8ahzpjbAr","nfWCRJixA25s7PBp7","nm5ZArkxPMQX4hJ9k","o2WpdMBkNfFuqnR6T","oGWNYCtu5HAjQhrQR","oaC7Gpiz9Z6d2dY6y","ocrGzw5sS92WiZSdg","ohKLwaYRR6zFshA3h","ooTqidpjmWW2boL5K","oqBS3F5sKKJicFn9w","pEakfumAHuDTy78R3","pPSNhKkAsNo4pWGL4","pbM7Z8pjbt4qYSooa","piAP6uogG5RRCvuB4","ptrjqAKpcLo7dSjCZ","pzeYCnLhWjjXpYbib","q23a3FbiDqyP55Z43","qTNTtTRyATWTFFEiL","qcaXbWr35ABDwyJHK","qtc5TNg5rxrdWkRM8","que857XZDCqcA5nsu","rXufyATwaN99uGNBA","rmEfuRWuDqbmjbvqB","rmxt5WYHE3m5AoHcH","s6r8qW2v9brmD9GLZ","s7NjXjXpFB89Zw9sH","s9dKEg8DjoEL4LzX3","sWoyhLmboYMbhTjjK","sp4YiocmESGqKSn7S","szgRmM7gjrnRukwQb","t2uXTZSYyvp2jN9ZR","t5YB9mdcZMC2ab2Sg","t5i9tnsDSxh7h4cey","tN6nsHGvEm68pqjDr","tNhcct6kJP9EHQMvc","tNsDjxF92PjcHALvM","tR3CnPBECjQPDiZNJ","tWXvm5i2nS4C2TzqR","tmWNDzm7TShZHb89w","txGicXABcMKBqLEZo","u7EvDNsjM7jTBF6iM","uEGeeujdmyNzJuWz8","uGDrtXKCvHBgXMmbf","uZ6babwDz5EaMfMYe","ubbsL29PwmtRxJDHq","uktGJRfoSYDLi3ocj","uod4myGY7mGwME3nE","urCTm73EvCmDt5hYf","usEJsq7tWRnyswyQM","vcPuBeTuryStApyxh","vhhM7rmv7Cd5YgmTB","vpSWPsMC8vL7cR3tg","vuL9CTNQfZMyag3pB","vuSuAbdtDHqvFfqHm","w2s6qWMM9aDBnBWGT","w6hacABvQKgDcsaQM","w9FheKFfiNRJc6FfN","wCBLFXk7hEBXWozA3","wD2DSYRrgKQpWxw8R","wGpTbFApHpshDuMPd","wQdjkmGSAYH4ArNTe","wbC8B5kb7CEMjJNKC","x8Rvk5R2ngqmpHFCr","xBy2bneRPLMXeGnew","xNEKzXB6KXeJzFNwm","xR6Wt28qmKTot2ACQ","xSnjqy7jr6ZLtpRJ3","xWfqWBycQiSdTmWj3","xuqm98Yy5FkjuKvuh","xvCT4bTAArrWiZeYX","xzNERCA3RuF45nmAx","yJGmpRaWYzKAFxteY","yYm9xXb5fPSHpHeFv","yaCn6YaPQHtZEXeHK","ybBKBgFsPx3FvEBgS","ygsFGRWAYx6szbfsE","ymmEkiZ33fTDWbFZ8","yu8F4BAGYEaAMS8q7","ywHBuzKDxCmQbw6n9","zB7qpjErSJqoqHZuS","zEKAoMuQFu2MaX59N","zn57oXWr8v2LkAm8Y","znQ5PouiiuZXX3hTJ","zzBhvk5qAMCeskHpR"],"author_short":["Reed, W R.","Smith, A."],"bibdata":{"bibtype":"article","type":"article","title":"A Time Series Paradox: Unit Root Tests Perform Poorly When Data are Cointegrated","author":[{"propositions":[],"lastnames":["Reed"],"firstnames":["W","Robert"],"suffixes":[]},{"propositions":[],"lastnames":["Smith"],"firstnames":["Aaron"],"suffixes":[]}],"journal":"Economics Letters","volume":"151","pages":"71–74","year":"2017","url":"https://files.asmith.ucdavis.edu/2017_EL_RS_unitroot","keywords":"econometrics","abstract":"Cointegration among time series paradoxically makes it more likely that a unit test will reject the unit root null hypothesis on the individual series. This occurs because at least one series in the system has a negative moving average component.","publisher":"North-Holland","bibtex":"@article{reed2017time,\r\n title={A Time Series Paradox: Unit Root Tests Perform Poorly When Data are Cointegrated},\r\n author={Reed, W Robert and Smith, Aaron},\r\n journal={Economics Letters},\r\n volume={151},\r\n pages={71--74},\r\n year={2017},\r\n\turl={https://files.asmith.ucdavis.edu/2017_EL_RS_unitroot},\r\n\tkeywords={econometrics},\r\n\tabstract={Cointegration among time series paradoxically makes it more likely that a unit test will reject the unit root null hypothesis on the individual series. This occurs because at least one series in the system has a negative moving average component.},\r\n publisher={North-Holland}\r\n}\r\n\r\n\r\n\r\n","author_short":["Reed, W R.","Smith, A."],"key":"reed2017time","id":"reed2017time","bibbaseid":"reed-smith-atimeseriesparadoxunitroottestsperformpoorlywhendataarecointegrated-2017","role":"author","urls":{"Paper":"https://files.asmith.ucdavis.edu/2017_EL_RS_unitroot"},"keyword":["econometrics"],"metadata":{"authorlinks":{"smith, a":"https://asmith.ucdavis.edu/publications"}},"downloads":6},"bibtype":"article","biburl":"https://www.dropbox.com/s/1yaa9wha4jhlrgu/pubs.bib?dl=1","creationDate":"2020-03-23T21:37:30.538Z","downloads":6,"keywords":["econometrics"],"search_terms":["time","series","paradox","unit","root","tests","perform","poorly","data","cointegrated","reed","smith"],"title":"A Time Series Paradox: Unit Root Tests Perform Poorly When Data are Cointegrated","year":2017,"dataSources":["m3trFABzuGWj6pcfa","4PiJhMSXhsNKJ9rxM"]}