A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case

This paper provides a theoretical functional representation of the density function related to the Dickey- Fuller random variable. The approach is extended to cover the multivariate case in two special frameworks: the independence and the perfect correlation of the series.

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Year of publication:	2009-09-28
Authors:	Cerqueti, Roy ; Costantini, Mauro ; Lupi, Claudio
Institutions:	Dipartimento di Economia, Gestione, Società e Istituzioni, Università degli Studi del Molise
Subject:	Dickey-Fuller distribution \| unit root

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Extent:	application/pdf
Series:	Economics & Statistics Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	published in JSM 2009 Proceedings, Business and Economic Statistics Section. Alexandria, VA. American Statistical Association, 4570-4576. 8 pages
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008536815