Unit root tests considering initial values and a concise method for computing powers
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References listed on IDEAS
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More about this item
Keywords
Dickey-Fuller tests; Squared Bessel process; joint density; powers approximated by normal distribution; exact distribution;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2022-12-12 (Econometrics)
- NEP-ETS-2022-12-12 (Econometric Time Series)
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