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

Paper abstract bibtex

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} }

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