Question
Question 1: (10 marks) 1.1 Unit root tests are very important in time series econometrics, yet they are not without flaws. Provide a critique of
Question 1: (10 marks)
1.1 Unit root tests are very important in time series econometrics, yet they are not
without flaws. Provide a critique of unit root tests in general. In your answer
focus on the size and power of these tests. (4)
1.2 Discuss the notion of cointegration and how it assists to overcome the spurious
- regression problem. (3)
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Essentials Of Statistics For The Behavioral Sciences
Authors: Frederick J Gravetter, Larry B. Wallnau
8th Edition
1133956572, 978-1133956570
