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Activity Number: 122
Type: Contributed
Date/Time: Monday, August 3, 2009 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract - #305216
Title: A Characterization of the Dickey-Fuller Distribution With Some Extensions to the Multivariate Case
Author(s): Roy Cerqueti*+ and Claudio Lupi and Mauro Costantini
Companies: University of Macerata and University of Molise and University of Vienna
Address: Via Crescimbeni, 20, Macerata, 62100, Italy
Keywords: Dickey-Fuller Distribution ; Unit Root
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.

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