EMPIRICAL EVIDENCE ON DICKEY‐FULLER‐TYPE TESTS
- 1 November 1992
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 13 (6) , 471-483
- https://doi.org/10.1111/j.1467-9892.1992.tb00121.x
Abstract
The empirical performance of tests of the Dickey–Fuller type for unit autoregressive roots in the generating model of a time series is studied. In particular, the case where the true generating model structure is unknown and may involve a substantial moving‐average component is examined.Keywords
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