The Asymptotic Distribution of the Augmented Dickey-Fuller t Test under a Generally Fractionally-Integrated Process
碩士 === 國立中山大學 === 經濟學研究所 === 92 === In this paper, we derive the asymptotic distribution of the Augmented Dickey-Fuller t Test statistics, t_{ADF}, against a generalized fractional integrated process (for example: ARFIMA(p,1+d,q) ,|d|<1/2,and p, q be positive integer) by using the propositions o...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/42184120549188372665 |