Economics, Econometrics and Finance
4 years ago

Economic time series may not accurately predict future trends, study finds.

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RePEc: Research Papers in Economics
Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?
Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt

Paper Summary

Many economic time series may have a unit root, suggesting a long-term trend. However, it's hard to be certain because the tests used are not very powerful. This means that the results may not accurately show whether a unit root is present or not in economic data.

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