A finite-sample sensitivity analysis of the Dickey–Fuller test under local-to-unity detrending

DOI10.1080/02664760500251725zbMath1112.62088OpenAlexW2043528215MaRDI QIDQ3426402

Steven Cook

Publication date: 8 March 2007

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760500251725

zbMATH Keywords

local-to-unity detrendingsavings ratio

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Cites Work

• Efficient Tests for an Autoregressive Unit Root