dp09-18[1].pdf (352.85 kB)
Download file

The behaviour of Dickey Fuller test in the case of noisy data: To what extent we can trust the outcome

Download (352.85 kB)
report
posted on 02.03.2010, 16:00 by Stephen G. Hall, Sahar S. Qaqeesh
We examine the behaviour of Dickey Fuller test (DF) in the case of noisy data using Monte Carlo simulation. The findings show clearly that the size distortion of DF test becomes larger as the noise increases in the data.

History

Publisher

Dept. of Economics, University of Leicester

Available date

02/03/2010

Publisher version

http://www.le.ac.uk/economics/research/discussion/papers2009.html

Notes

Updated 18/09/2009. Updated 21/09/2009.

Book series

Papers in Economics;09/18

Language

en

Usage metrics

Categories

Exports