Unit root testing in integer-valued AR(1) models

被引：14
|
作者：
Hellström, J [1 ]
机构：
[1] Umea Univ, Dept Econ, SE-90187 Umea, Sweden
来源：
ECONOMICS LETTERS | 2001年 / 70卷 / 01期
关键词：
time series; count data; random walk with drift; Poisson errors;
D O I：
10.1016/S0165-1765(00)00344-X
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2001. Elsevier Science B.V. All rights reserved. JEL classification: C12; C22; C25.
引用
收藏
页码：9 / 14
页数：6
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