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Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
Home
Publications
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
DD
David A. Dickey
David A. Dickey
WF
Wayne A. Fuller
Wayne A. Fuller
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1 July 1981
journal article
Published by
JSTOR
in
Econometrica
Vol. 49
(4)
,
1057
https://doi.org/10.2307/1912517
Abstract
Let the time series Yt satisfy $Y_{t}=alpha + ho Y_{t-1}+e_{t}$, where Y1 is fixed and the et are normal independent (0, σ 2) random variables. The likelihood...
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