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Christoph Hanck
Christoph Hanck
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Why do the Dickey-Fuller test and LoMackinlayLo-MacKinlay Variance Ratio test yield such different outcomes?

It is my belief that a unit root implies a random walk, but not vice versa. Therefore, would one not expect the Dickey-Fuller test to find non-stationarity in the same cases as the LoMackinlayLo-MacKinlay Variance Ratio Test (a subset), but for the LoMackinlay to find non-stationary in other cases too?

Why do the Dickey-Fuller test and LoMackinlay Variance Ratio test yield such different outcomes?

It is my belief that a unit root implies a random walk, but not vice versa. Therefore, would one not expect the Dickey-Fuller test to find non-stationarity in the same cases as the LoMackinlay Variance Ratio Test (a subset), but for the LoMackinlay to find non-stationary in other cases too?

Why do the Dickey-Fuller test and Lo-MacKinlay Variance Ratio test yield such different outcomes?

It is my belief that a unit root implies a random walk, but not vice versa. Therefore, would one not expect the Dickey-Fuller test to find non-stationarity in the same cases as the Lo-MacKinlay Variance Ratio Test (a subset), but for the LoMackinlay to find non-stationary in other cases too?

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Will Harries
Will Harries
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Why do the Dickey-Fuller test and LoMackinlay Variance Ratio test yield such different outcomes?

It is my belief that a unit root implies a random walk, but not vice versa. Therefore, would one not expect the Dickey-Fuller test to find non-stationarity in the same cases as the LoMackinlay Variance Ratio Test (a subset), but for the LoMackinlay to find non-stationary in other cases too?