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Contribution to Book
A characterization of the Dickey-Fuller distribution with some extensions to the multivariate case
JSM Proceedings (2009)
  • Roy Cerqueti, University of Macerata
  • Mauro Costantini, University of Vienna
  • Claudio Lupi, University of Molise
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.

Keywords
  • Dickey-Fuller distribution,
  • unit root
Publication Date
2009
Publisher
American Statistical Association
Citation Information
Roy Cerqueti, Mauro Costantini and Claudio Lupi. "A characterization of the Dickey-Fuller distribution with some extensions to the multivariate case" Alexandria, VAJSM Proceedings (2009)
Available at: http://works.bepress.com/claudio_lupi/2/