UNIT ROOTS IN TIME-SERIES MODELS - TESTS AND IMPLICATIONS

被引：245

作者：

DICKEY, DA

BELL, WR

MILLER, RB

机构：

[1] N CAROLINA STATE UNIV,STAT,RALEIGH,NC 27695

[2] UNIV WISCONSIN,BUSINESS & STAT,MADISON,WI 53706

来源：

AMERICAN STATISTICIAN | 1986年 / 40卷 / 01期

关键词：

D O I：

10.2307/2683112

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

引用

页码：12 / 26

页数：15

共 27 条

[1]

ABRAHAM B, 1978, APPLIED STATISTICS, V27, P120

[2]

BOX GEP, 1970, TIME SERIES ANAL FOR

[3] NOTE ON TREND REMOVAL METHODS - CASE OF POLYNOMIAL REGRESSION VERSUS VARIATE DIFFERENCING [J].

CHAN, KH ;

HAYYA, JC ;

ORD, JK .

ECONOMETRICA, 1977, 45 (03) :737-744

[4]

Dickey D. A., 1984, P BUSINESS EC STATIS, P489

[5] LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT-ROOT [J].

DICKEY, DA ;

FULLER, WA .

ECONOMETRICA, 1981, 49 (04) :1057-1072

[6] DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT [J].

DICKEY, DA ;

FULLER, WA .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1979, 74 (366) :427-431

[7]

FINDLEY DF, 1980, TIME SERIES ANAL, P163

[8] ESTIMATION OF THE PARAMETERS OF STOCHASTIC DIFFERENCE-EQUATIONS [J].

FULLER, WA ;

HASZA, DP ;

GOEBEL, JJ .

ANNALS OF STATISTICS, 1981, 9 (03) :531-543

[9]

FULLER WA, 1976, INTRO STATISTICAL TI

[10]

FULLER WA, 1984, TIME SERIES TIME DOM, V5, P1

← 1 2 3 →