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03.3.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint—Solution

Published online by Cambridge University Press:  01 August 2004

Giuseppe Cavaliere
Giuseppe Cavaliere
Affiliation:
University of Bologna, Italy
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Extract

Solution to the asymptotic distribution of the Dickey–Fuller statistic under nonnegativity constraint problem.

Type
PROBLEMS AND SOLUTIONS
Information
Econometric Theory , Volume 20 , Issue 4 , August 2004 , pp. 808 - 810
Copyright
© 2004 Cambridge University Press

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Footnotes

An independent solution has been proposed by Paulo Rodrigues, University of Algrave, Portugal, jointly with Antonio Rubia, University of Alicante, Spain.

References

REFERENCES

Cavaliere, G. (2001) Asymptotics for Nonstationary Time Series under Range Constraints. Preprint 7/2001, Department of Statistics and Operations Research, University of Copenhagen.
Cavaliere, G. (2002) Bounded integrated processes and unit root tests. Statistical Methods and Applications—Journal of the Italian Statistical Society 11, 41–70.Google Scholar
Harrison, M.J. (1985) Brownian Motion and Stochastic Flow Systems. Wiley.
Phillips, P.C.B. (1987) Time series regression with a unit root. Econometrica 55, 277–301.Google Scholar