On the asymptotic distribution of the Dickey Fuller-GLS test statistic (Q2934855)
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scientific article; zbMATH DE number 6382088
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| English | On the asymptotic distribution of the Dickey Fuller-GLS test statistic |
scientific article; zbMATH DE number 6382088 |
Statements
On the asymptotic distribution of the Dickey Fuller-GLS test statistic (English)
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22 December 2014
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unit root test
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GLS detrending
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asymptotic distribution
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asymptotic local power
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method of proof
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0.8457774519920349
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0.8346186280250549
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0.8033254742622375
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0.7958055734634399
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0.7914449572563171
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