Fractional integration and the augmented Dickey–Fuller Test
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چکیده
منابع مشابه
Fractional integration and the augmented dickey-fuller test
This note shows that the Augmented Dickey Fuller test is consi stent against fractional alternatives if the order of the autoregres sion does not tend to in nity too fast
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ژورنال
عنوان ژورنال: Economics Letters
سال: 1998
ISSN: 0165-1765
DOI: 10.1016/s0165-1765(98)00194-3