EMPIRICAL EVIDENCE ON DICKEY‐FULLER‐TYPE TESTS
Journal of Time Series AnalysisPublished 1 November 1992
Christos Agiakloglou, Paul Newbold
Citations153
SJR quartileQ1
SJR score0.94
SNIP1.27
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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.
Keywords
Economics, Econometrics and Finance
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