This paper provides a theoretical functional representation of the density function related to the Dickey-Fuller random variable. The approach is extended to cover the multivariate case in two special frameworks: the independence and the perfect correlation of the series.

A Characterization of the Dickey-Fuller Distribution With Some Extensions to the Multivariate Case

LUPI, Claudio
2009

Abstract

This paper provides a theoretical functional representation of the density function related to the Dickey-Fuller random variable. The approach is extended to cover the multivariate case in two special frameworks: the independence and the perfect correlation of the series.
978-1223000848
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11695/15869
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