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03.4.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint

Published online by Cambridge University Press:  01 August 2003

Giuseppe Cavaliere
Giuseppe Cavaliere
Affiliation:
University of Bologna, Italy
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Extract

The asymptotic distribution of the Dickey–Fuller statistic under nonnegativity constraint.

Type
PROBLEMS AND SOLUTIONS
Information
Econometric Theory , Volume 19 , Issue 4 , August 2003 , pp. 691 - 692
Copyright
© 2003 Cambridge University Press

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References

REFERENCES

Cox, D.R. & H.D. Miller (1965) The Theory of Stochastic Processes. London: Chapman and Hall.
Phillips, P.C.B. (1987) Time series regression with a unit root. Econometrica 55, 277–301.Google Scholar