Unit Root Testing in Integer-Valued Ar(1) Models
Author | : Jörgen Hellström |
Publisher | : |
Total Pages | : 0 |
Release | : 2009 |
Genre | : |
ISBN | : |
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We focus on the testing of a unit root in the integer-valued autoregression of order one. Finite sample distributions for a Dickey-Fuller test of a random walk with drift with Poisson distributed and, hence, skewed errors are obtained by Monte Carlo simulation.