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

Roy Cerqueti, Mauro Costantini and Claudio Lupi

Economics & Statistics Discussion Papers from University of Molise, Department of Economics

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.

Keywords: Dickey-Fuller distribution; unit root (search for similar items in EconPapers)
JEL-codes: C12 C16 C22 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2009-09-28
New Economics Papers: this item is included in nep-ecm and nep-ets
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Published in JSM 2009 Proceedings, Business and Economic Statistics Section. Alexandria, VA. American Statistical Association, 4570-4576.

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Persistent link: https://EconPapers.repec.org/RePEc:mol:ecsdps:esdp09055

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