Unit Root Testing in Integer-Valued Ar(1) Models

We focus on the testing of a unit root in the integer-valued autoregression of order one. Finite sample distributions for a Dickey-Fuller test of a random walk with drift with Poisson distributed and, hence, skewed errors are obtained by Monte Carlo simulation

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Year of publication:	2009
Authors:	Hellström, Jörgen
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Einheitswurzeltest \| Unit root test \| Zeitreihenanalyse \| Time series analysis
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Vol. 70, 2001 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 15, 2000 erstellt Volltext nicht verfügbar
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; C25 - Discrete Regression and Qualitative Choice Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014206766