On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance (Q870320): Difference between revisions
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| Property / cites work: Distribution of the Estimators for Autoregressive Time Series With a Unit Root / rank | |||
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| Property / cites work: Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root / rank | |||
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| Property / cites work: JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS / rank | |||
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| Property / cites work: Testing for a unit root in the presence of a variance shift / rank | |||
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| Property / cites work: Unit root tests with a break in innovation variance. / rank | |||
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Latest revision as of 15:52, 25 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance |
scientific article |
Statements
On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance (English)
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12 March 2007
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unit root
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innovation break
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normalized estimator
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Dickey--Fuller \(F\)-statistics
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