Title of article
Testing for unit roots in the context of misspecified logarithmic random walks
Author/Authors
Walter Kramer، نويسنده , , Laurie Davies، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2002
Pages
7
From page
313
To page
319
Abstract
We show both analytically and by Monte Carlo that the null distribution of the Dickey–Fuller-test is extremely non-robust to improper transformations of the data.
Keywords
Unit roots , Dickey–Fuller-test , Misspecification
Journal title
Economics Letters
Serial Year
2002
Journal title
Economics Letters
Record number
434879
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