On the distributions of augmented Dickey-Fuller statistics in processes with moving average components

DOI10.1016/S0304-4076(98)00097-9zbMath0941.62100WikidataQ126988162 ScholiaQ126988162MaRDI QIDQ1808553

John W. Galbraith, Victoria Zinde-Walsh

Publication date: 13 August 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

unit rootaugmented Dickey-Fuller testmoving-average process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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