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.
|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.|
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- 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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