A complementary test for ADF test with an application to the exchange rates returns
Ling, Siew-Eng; Liew, Venus Khim-Sen; Lau, Sie-Hoe · 2005
WASTE classifies this as Methods Dead-End · AI classification, approximate
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The finding, in one line
“This study shows that augmented Dickey-Fuller (ADF) test failed to detect covariance nonstationary series.”
Abstract (excerpt)
This study shows that augmented Dickey-Fuller (ADF) test failed to detect covariance nonstationary series. Supportive of Ahamada (2004), this study finds that the cumulative sums of squares procedure in Inclán and Tiao (1994) is useful to…
Excerpt shown for reference under fair use — read the full paper at the publisher.
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Metadata source: CORE