Small Sample Unit Root Tests

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Small Sample Unit Root Tests

Postby devenvalecha » Tue Jan 23, 2018 2:16 am

I am working with a very limited set of data, where n = 16 and 28.

Does it make sense to employ unit root tests on these variables of interest?

Given this strong restriction about limited small sample size, what can be an alternative to this analysis?
Does it mean there is no way to interpret the model and carry out the analysis.

I am aware that the tests don't run well with small sample. How to overcome this is the question?

Posts: 385
Joined: Tue Nov 24, 2015 4:57 pm

Re: Small Sample Unit Root Tests

Postby dakila » Tue Jan 23, 2018 5:17 pm

do bayesian analysis.

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