Economics, Econometrics and Finance
4 years ago

New unit-root tests reveal hidden flaws in economic forecasting models.

Journal of Business and Economic Statistics
Tests for Unit Roots: A Monte Carlo Investigation
G. William Schwert

Paper Summary

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The article explores different tests for unit roots in statistical models. Some tests are better at detecting certain patterns than others. The tests by Phillips and Perron are more sensitive to errors in the model compared to older tests by Fuller and Dickey. This research helps improve our understanding of how to test for patterns in data accurately.