EMPIRICAL EVIDENCE ON DICKEY‐FULLER‐TYPE TESTS

Christos Agiakloglou and P. Newbold

Journal of Time Series Analysis, 1992, vol. 13, issue 6, 471-483

Abstract: 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.

Date: 1992
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