Potential Problems with Cointegration The ADF test often indicates acceptance of the null hypothesis (no cointegration), when in fact cointegration is
{"Image DocumentName": "Potential Problems with Cointegration", "Image ImageDescription": "The ADF test often indicates acceptance of the null hypothesis (no cointegration), when in fact cointegration is present. The ADF test is best when we have a long time span of data, rather than large amounts of observations over a short time span. This can be a problem with financial data which tends to cover a couple of years, but with high frequency data (i.e. daily data) It is only really used for bi-variate cointegration tests, although it can be used for multivariate models, a different set of critical values is required.", "Image XResolution": "37", "Image YResolution": "37", "Image ResolutionUnit": "Pixels/Centimeter", "Image Software": "SlidePlayer", "Image YCbCrPositioning": "Centered"}