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.
© ASA
| Original language | English |
|---|---|
| Title of host publication | Proceedings of the Joint Statistical Meeting (Business and Economic Statistics Section), 1-6 August 2009, Washington DC, USA |
| Publisher | American Statistical Association |
| Publication status | Published - 2009 |
| Externally published | Yes |