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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://bibbase.org/show?bib=https%3A%2F%2Fwww.dropbox.com%2Fs%2F1yaa9wha4jhlrgu%2Fpubs.bib%3Fdl%3D1&theme=default&groupby=keyword&filter=type:article"}}},"bibtype":"article","biburl":"https://www.dropbox.com/s/1yaa9wha4jhlrgu/pubs.bib?dl=1","creationDate":"2020-03-23T21:37:30.538Z","downloads":5,"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"]}