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A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case

Author

Listed:
  • Cerqueti, Roy
  • Costantini, Mauro
  • Lupi, Claudio

Abstract

This paper provides a theoretical functional representation of the density function related to the Dickey- Fuller random variable. The approach is extended to cover the multivariate case in two special frameworks: the independence and the perfect correlation of the series.

Suggested Citation

  • Cerqueti, Roy & Costantini, Mauro & Lupi, Claudio, 2009. "A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case," Economics & Statistics Discussion Papers esdp09055, University of Molise, Department of Economics.
    • Handle: RePEc:mol:ecsdps:esdp09055
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    File URL: http://web.unimol.it/progetti/repec/mol/ecsdps/ESDP09055.pdf
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    References listed on IDEAS

    as
    1. Abadir, Karim M., 1995. "The Limiting Distribution of the t Ratio Under a Unit Root," Econometric Theory, Cambridge University Press, vol. 11(4), pages 775-793, August.
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    More about this item

    Keywords

    Dickey-Fuller distribution; unit root;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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