03.4.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint

B-Tier

Journal: Econometric Theory

Year: 2003

Volume: 19

Issue: 4

Pages: 691-692

Authors (1)

Cavaliere, Giuseppe (Alma Mater Studiorum - Univers...)

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

The asymptotic distribution of the Dickey–Fuller statistic under nonnegativity constraint.