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Title: A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case
Authors: Cerqueti, Roy
Costantini, Mauro
Lupi, Claudio
Keywords: Dickey-Fuller distribution
unit root
Issue Date: 28-Sep-2009
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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