A Computer Program to Run a Monte Carlo Experiment: A Dickey-Fuller Distribution
نویسندگان
چکیده
منابع مشابه
A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case
This paper provides a theoretical functional representation of the density function related to the DickeyFuller random variable. The approach is extended to cover the multivariate case in two special frameworks: the independence and the perfect correlation of the series. key words: Dickey-Fuller distribution, unit root JEL codes: C12, C16, C22
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ژورنال
عنوان ژورنال: Economía Informa
سال: 2014
ISSN: 0185-0849
DOI: 10.1016/s0185-0849(14)70437-2