In this paper we extend the large-sample results provided for the augmented Dickey—Fuller test by Said and Dickey (1984, Biometrika 71, 599—607) and Chang and Park (2002, Econometric Reviews 21, ...
This past reading period, I was slightly surprised to find that the material that was the most challenging was the easiest to study. My econometrics exam came and went with the rest of finals, but the ...
This paper proposes an Augmented Dickey—Fuller (ADF) coefficient test for detecting the presence of a unit root in autoregressive moving average (ARMA) models of unknown order. Although the limit ...
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