A Complementary Test for ADF Test with An Application to the Exchange Rates Returns
Ling, Siew-Eng; Venus, Khim-Sen Liew; 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…
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Metadata source: CORE