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

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  • Cerqueti, Roy

    ()

  • Costantini, Mauro

    ()

  • Lupi, Claudio

    ()

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://web.unimol.it/progetti/repec/mol/ecsdps/ESDP09055.pdf
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Bibliographic Info

Paper provided by University of Molise, Dept. EGSeI 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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Keywords: Dickey-Fuller distribution; unit root;

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  1. 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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