ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS

DOI10.1081/ETC-120015385zbMath1049.62096MaRDI QIDQ4817433

Yoosoon Chang, Joon Y. Park

Publication date: 22 September 2004

Published in: Econometric Reviews (Search for Journal in Brave)

zbMATH Keywords

asymptoticslinear processunit rootsautoregressive approximationADF tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

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