Timeline for Why do the Dickey-Fuller test and Lo-MacKinlay Variance Ratio test yield such different outcomes?
Current License: CC BY-SA 4.0
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| Sep 25, 2023 at 21:56 | comment | added | mlofton | What Christoph said was right on. Another problem is that two tests can have different null hypothesis ( this happens mainly in unit root testing. what's the null, unit root or no unit root ? ) which will definitely cause mixed results. So, one thing that should help ( but definitely not a solution ) is to use tests that have the same null. I forget if DF and the Variance Ratio test have the same null. | |
| Mar 15, 2019 at 10:15 | history | edited | Christoph Hanck | CC BY-SA 4.0 |
added 512 characters in body
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| Mar 13, 2019 at 17:44 | history | answered | Christoph Hanck | CC BY-SA 4.0 |