On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance (Q870320)
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scientific article; zbMATH DE number 5133030
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance |
scientific article; zbMATH DE number 5133030 |
Statements
On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance (English)
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12 March 2007
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unit root
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innovation break
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normalized estimator
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Dickey--Fuller \(F\)-statistics
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