The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes.
Unit root testing has been developed through numerous papers since the work of Dickey and Fuller (1979). The idea is to test the hypothesis that the differences of an observed time series do not depend on its levels, or in other words, the levels of the time series has a unit root which can...
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| Format: | Journal article |
| Language: | English |
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2001
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