Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order: Critical Comments

In this research note, we accomplish two objectives. First, we reexamine the reliability of unit root findings in the study by Said and Dickey (1984) and show that their results are internally consistent. Second, we provide new results from the reanalysis of the original data that were not included in their study and explain why their results cannot be generalized. In conclusion, we cast doubt on the continued usefulness of Augmented Dickey Fuller (ADF) test as a sound scientific method.

本研究简报旨在达成两项核心研究目标。其一，我们重新检验了Said与Dickey（1984）研究中单位根（unit root）结论的可靠性，并证实其研究结果具备内部一致性。其二，我们针对该研究未纳入的原始数据开展重新分析，得到全新的研究结果，并阐释了其研究结论无法推广应用的原因。最后，我们对增广迪基-富勒（Augmented Dickey Fuller, ADF）检验作为严谨科学方法的持续适用性提出了质疑。