Chang, Yoosoon; Park, Joon - In: Econometric Reviews 21 (2002) 4, pp. 431-447
In this paper, we derive the asymptotic distributions of Augmented-Dickey-Fuller (ADF) tests under very mild conditions. The tests were originally proposed and investigated by Said and Dickey (1984) for testing unit roots in finite-order ARMA models with i.i.d. innovations, and are based on a...