A Complementary Test for ADF Test with An Application to the Exchange Rates Returns
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 complement the ADF test. As illustration, the ADF test indica...
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| Main Authors: | , , |
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| Format: | Working Paper |
| Language: | en |
| Published: |
Universiti Malaysia Sabah (UMS)
2005
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/29605/1/complementary.pdf http://ir.unimas.my/id/eprint/29605/ |
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