Unit root tests: Common pitfalls and best practices

Unit root tests: Common pitfalls and best practices
Author: Traoré, Fousseini
Publisher: Intl Food Policy Res Inst
Total Pages: 24
Release: 2021-12-31
Genre: Political Science
ISBN:


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Since the seminal paper by Granger and Newbold (1974) on spurious regressions, applied econometricians have become aware of the consequences of unit roots in empirical analysis with time series data. Yet one can still find many published papers with unit root tests implemented in an inappropriate way. The objective of this Technical Note is to highlight the common pitfalls and best practices when testing for unit roots. In addition to the theoretical discussion, we provide examples using price data from Kenya, Mali, Togo, and South Africa to illustrate the procedures we think are worth following.


Unit root tests: Common pitfalls and best practices
Language: en
Pages: 24
Authors: Traoré, Fousseini
Categories: Political Science
Type: BOOK - Published: 2021-12-31 - Publisher: Intl Food Policy Res Inst

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Since the seminal paper by Granger and Newbold (1974) on spurious regressions, applied econometricians have become aware of the consequences of unit roots in em
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Type: BOOK - Published: 1998 - Publisher: Cambridge University Press

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A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
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