Unit root tests: Common pitfalls and best practices
Since the seminal paper by Granger and Newbold (1974) on spurious regressions, applied econometricians have become aware of the consequences of unit roots in empirical analysis with time series data. Yet one can still find many published papers with unit root tests implemented in an inappropriate wa...
| Autores principales: | , |
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| Formato: | Artículo preliminar |
| Lenguaje: | Inglés |
| Publicado: |
International Food Policy Research Institute
2022
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| Materias: | |
| Acceso en línea: | https://hdl.handle.net/10568/140994 |
| _version_ | 1855526025790750720 |
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| author | Traoré, Fousseini Diop, Insa |
| author_browse | Diop, Insa Traoré, Fousseini |
| author_facet | Traoré, Fousseini Diop, Insa |
| author_sort | Traoré, Fousseini |
| collection | Repository of Agricultural Research Outputs (CGSpace) |
| description | Since the seminal paper by Granger and Newbold (1974) on spurious regressions, applied econometricians have become aware of the consequences of unit roots in empirical analysis with time series data. Yet one can still find many published papers with unit root tests implemented in an inappropriate way. The objective of this Technical Note is to highlight the common pitfalls and best practices when testing for unit roots. In addition to the theoretical discussion, we provide examples using price data from Kenya, Mali, Togo, and South Africa to illustrate the procedures we think are worth following. |
| format | Artículo preliminar |
| id | CGSpace140994 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 2022 |
| publishDateRange | 2022 |
| publishDateSort | 2022 |
| publisher | International Food Policy Research Institute |
| publisherStr | International Food Policy Research Institute |
| record_format | dspace |
| spelling | CGSpace1409942025-11-06T06:18:08Z Unit root tests: Common pitfalls and best practices Traoré, Fousseini Diop, Insa models approaches macroeconomics econometrics best practices Since the seminal paper by Granger and Newbold (1974) on spurious regressions, applied econometricians have become aware of the consequences of unit roots in empirical analysis with time series data. Yet one can still find many published papers with unit root tests implemented in an inappropriate way. The objective of this Technical Note is to highlight the common pitfalls and best practices when testing for unit roots. In addition to the theoretical discussion, we provide examples using price data from Kenya, Mali, Togo, and South Africa to illustrate the procedures we think are worth following. 2022-01-12 2024-04-12T13:37:02Z 2024-04-12T13:37:02Z Working Paper https://hdl.handle.net/10568/140994 en Open Access application/pdf International Food Policy Research Institute Traoré, Fousseini; and Diop, Insa. 2022. Unit root tests: Common pitfalls and best practices. AGRODEP Technical Note TN-23. Washington, DC: International Food Policy Research Institute (IFPRI). https://doi.org/10.2499/p15738coll2.134944. |
| spellingShingle | models approaches macroeconomics econometrics best practices Traoré, Fousseini Diop, Insa Unit root tests: Common pitfalls and best practices |
| title | Unit root tests: Common pitfalls and best practices |
| title_full | Unit root tests: Common pitfalls and best practices |
| title_fullStr | Unit root tests: Common pitfalls and best practices |
| title_full_unstemmed | Unit root tests: Common pitfalls and best practices |
| title_short | Unit root tests: Common pitfalls and best practices |
| title_sort | unit root tests common pitfalls and best practices |
| topic | models approaches macroeconomics econometrics best practices |
| url | https://hdl.handle.net/10568/140994 |
| work_keys_str_mv | AT traorefousseini unitroottestscommonpitfallsandbestpractices AT diopinsa unitroottestscommonpitfallsandbestpractices |