A Small Sample Correction of the Dickey–Fuller Test

DOI10.1016/S0573-8555(04)69003-1zbMath1112.62094OpenAlexW1562804596MaRDI QIDQ5292181

Søren Glud Johansen

Publication date: 19 June 2007

Published in: Contributions to Economic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0573-8555(04)69003-1

zbMATH Keywords

likelihood ratio testDickey-Fuller testsmall sample correctiontest for unit root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)

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