Influência da escolha do critério de informação na proporção de não rejeição da hipótese nula do teste ADF considerando a presença de raiz unitária

Anderson Silveira; Mariane Coelho Amaral; Viviane Leite Dias de Mattos; Luiz Ricardo Nakamura; Andrea Cristina Konrath

doi:10.14295/vetor.v33i2.15163

Authors

Anderson Silveira Universidade Federal do Rio Grande/Instituto Federal do Rio Grande do Sul - Rio Grande, RS, Brasil https://orcid.org/0000-0002-3954-6145
Mariane Coelho Amaral Universidade Federal do Rio Grande - Rio Grande, RS, Brasil
Viviane Leite Dias de Mattos Universidade Federal do Rio Grande - Rio Grande, RS, Brasil
Luiz Ricardo Nakamura Universidade Federal de Santa Catarina - Florianópolis, SC, Brasil https://orcid.org/0000-0002-7312-2717
Andrea Cristina Konrath Universidade Federal de Santa Catarina - Florianópolis, SC, Brasil https://orcid.org/0000-0002-3742-5032

DOI:

https://doi.org/10.14295/vetor.v33i2.15163

Keywords:

Unit root test, Information Criteria, ADF

Abstract

One of the various techniques used for time series analysis is econometric analysis, where in many cases it is necessary to verify the stationarity of the series. A non-stationary series presents the presence of unit roots, which makes it unsuitable for making forecasts. In this context, the so-called unit root tests have emerged, among which the Augmented Dickey-Fuller (ADF) test stands out. One of the crucial steps in applying the ADF test is the selection of lags. To select the lags to be applied in the test, it is necessary to define a maximum number from which the ideal number to be used in the ADF application will be selected. This ideal number can be determined with the aid of information criteria, such as the traditional AIC, BIC, and HQC. This study evaluated the influence of the choice of information criteria on the test result, considering the presence of unit roots. After the construction of scenarios, application of tests, and analysis of variance, no evidence was found that the choice of information criteria can interfere with the rate of non-rejection of the null hypothesis in the ADF test.

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