ON THE POWER OF DICKEY-FULLER TESTS AGAINST FRACTIONAL ALTERNATIVES

被引：249

作者：

DIEBOLD, FX ^{[1
]}

RUDEBUSCH, GD ^{[1
]}

机构：

[1] FED RESERVE BOARD,DIV RES & STAT,WASHINGTON,DC 20551

来源：

ECONOMICS LETTERS | 1991年 / 35卷 / 02期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1016/0165-1765(91)90163-F

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：155 / 160

页数：6

共 11 条

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[3]

DIEBOLD FX, 1989, FED SERIES, V57

[4]

DIEBOLD FX, 1990, ADV ECONOMETRICS COI, P3

[5]

FULLER WA, 1976, INTRO STATISTICAL TI

[6]

HOSKING JRM, 1981, BIOMETRIKA, V68, P165, DOI 10.1093/biomet/68.1.165

[7] TRENDS AND RANDOM-WALKS IN MACROECONOMIC TIME-SERIES - SOME EVIDENCE AND IMPLICATIONS [J].

NELSON, CR ;

PLOSSER, CI .

JOURNAL OF MONETARY ECONOMICS, 1982, 10 (02) :139-162

[8]

RUDEBUSCH GD, 1990, 105 FED RES BOARD EC

[9] TESTS FOR UNIT ROOTS - A MONTE-CARLO INVESTIGATION [J].

SCHWERT, GW .

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 1989, 7 (02) :147-159

[10] THE FRACTIONAL UNIT-ROOT DISTRIBUTION [J].

SOWELL, F .

ECONOMETRICA, 1990, 58 (02) :495-505

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