Mathematics
4 years ago

Dickey-Fuller Test Reveals Surprising Impact of Trend Misspecification on Data.

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SSRN Electronic Journal
Behaviour of Dickey-Fuller Unit-Root Tests under Trend Misspecification
Taehwan Kim, Stephen J. Leybourne, Paul Newbold

Paper Summary

The article examines how a common statistical test behaves when the data has a trend that is not accounted for in the test. The researchers found that the Dickey-Fuller test can give different results depending on the type and location of the trend break in the data.

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