Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order: Critical Comments

30 Pages Posted: 10 Dec 2016 Last revised: 2 Apr 2017

See all articles by Hari Luitel

Hari Luitel

Algoma University

Gerry Mahar

Algoma University

Date Written: March 29, 2017

Abstract

In this research note, we accomplish two objectives. First, we reexamine the reliability of unit root findings in the study by Said and Dickey (1984) and show that their results are internally consistent. Second, we provide new results from the reanalysis of the original data that were not included in their study and explain why their results cannot be generalized. In conclusion, we cast doubt on the continued usefulness of Augmented Dickey Fuller (ADF) test as a sound scientific method.

Keywords: Autoregressive; Differencing; Nonstationary; Time Series; Unit Root

JEL Classification: C100, C180, C200

Suggested Citation

Luitel, Hari and Mahar, Gerry, Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order: Critical Comments (March 29, 2017). Available at SSRN: https://ssrn.com/abstract=2882101 or http://dx.doi.org/10.2139/ssrn.2882101

Hari Luitel (Contact Author)

Algoma University ( email )

1520 Queen Street East
Sault Ste. Marie, Ontario P6A 2G4
Canada
705-949-2301 (Phone)
705-949-6583 (Fax)

HOME PAGE: http://www.algomau.ca/

Gerry Mahar

Algoma University ( email )

1520 Queen St. East
Sault Ste. Marie, Ontario P6A 4G4
Canada
705-949-2301 ext 4758 (Phone)
705-949-6583 (Fax)

Register to save articles to
your library

Register

Paper statistics

Downloads
89
Abstract Views
330
rank
282,287
PlumX Metrics