《计量经济学导论》ch18.pptVIP

Chapter 18;Testing for unit roots For the validity of regression analysis, it is crucial to know whether or not dependent or independent variables are highly persistent Dickey-Fuller test One can use the t-statistic to test the hypothesis, but under the null, it has not got the t-distribution but the Dickey-Fuller distribution The Dickey-Fuller distribution has to be looked up in tables;Alternative Formulation of the Dickey-Fuller test Critical values for Dickey-Fuller test;Example: Unit root test for three-month T-Bill rates Augmented Dickey-Fuller test The augmented Dickey-Fuller test a