A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case
AbstractThis 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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Bibliographic InfoPaper provided by University of Molise, Dept. SEGeS in its series Economics & Statistics Discussion Papers with number esdp09055.
Length: 8 pages
Date of creation: 28 Sep 2009
Date of revision:
Publication status: published in JSM 2009 Proceedings, Business and Economic Statistics Section. Alexandria, VA. American Statistical Association, 4570-4576.
Dickey-Fuller distribution; unit root;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-10 (All new papers)
- NEP-ECM-2009-10-10 (Econometrics)
- NEP-ETS-2009-10-10 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Abadir, Karim M., 1995.
"The Limiting Distribution of the t Ratio Under a Unit Root,"
Cambridge University Press, vol. 11(04), pages 775-793, August.
- Abadir, K.M., 1992. "The Limiting Distribution of the T Ratio Under a Unit Root," Papers 1992-2, American Cairo - Economics and Political Sciences.
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