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A Small Sample Correction of the Dickey–Fuller Test · Study

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ChapterA Small Sample Correction of the Dickey–Fuller Test

Søren Johansen2004

Chapter2004

A Small Sample Correction of the Dickey–Fuller Test

Søren Johansen

13 citations·0/0 files stored·Contributions to economic analysis

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

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References

1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 2002A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model 1997Miscellanea. Bartlett correction of the unit root test in autoregressive models 2004On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank 1997On the non-existence of a Bartlett correction for unit root tests

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Details

Year2004

Typechapter

Published2004-01-01

VenueContributions to economic analysis

ISSN-L0573-8555

Languageen

Citations13

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0573-8555(04)69003-1

openalex_workW1562804596

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