Unit Root Testing
Posted: Thu Apr 02, 2020 3:34 am
Hi all!
Can anyone provide some advice here.
I am looking to find a paper that shows which unit root tests hold more power at different sample sizes. I have a small sample size, n = 36, so under 50. I am doing a time series analysis
Which test is more appropriate for a small sample size?
ADF, PP, KPSS or all?
Thanks!
Can anyone provide some advice here.
I am looking to find a paper that shows which unit root tests hold more power at different sample sizes. I have a small sample size, n = 36, so under 50. I am doing a time series analysis
Which test is more appropriate for a small sample size?
ADF, PP, KPSS or all?
Thanks!