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

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Author Info
Cerqueti, Roy ()
Costantini, Mauro ()
Lupi, Claudio ()

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Abstract

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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File URL: http://www.unimol.it/progetti/repec/mol/ecsdps/ESDP09055.pdf
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Publisher Info
Paper provided by University of Molise, Dept. SEGeS in its series Economics & Statistics Discussion Papers with number esdp09055.

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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.
Handle: RePEc:mol:ecsdps:esdp09055

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Related research
Keywords: Dickey-Fuller distribution; unit root;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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This page was last updated on 2009-11-4.

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