论文信息 - EMPIRICAL EVIDENCE ON DICKEY-FULLER-TYPE TESTS

EMPIRICAL EVIDENCE ON DICKEY-FULLER-TYPE TESTS

. 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.

Paul Newbold | Christos Agiakloglou | P. Newbold | Christos Agiakloglou

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