Please use this identifier to cite or link to this item: http://hdl.handle.net/2381/7611
Title: The behaviour of Dickey Fuller test in the case of noisy data: To what extent we can trust the outcome
Authors: Hall, Stephen G.
Qaqeesh, Sahar S.
First Published: Sep-2009
Publisher: Dept. of Economics, University of Leicester
Abstract: 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.
Series/Report no.: Papers in Economics
09/18
Links: http://www.le.ac.uk/economics/research/discussion/papers2009.html
http://hdl.handle.net/2381/7611
Type: Report
Description: Updated 18/09/2009. Updated 21/09/2009.
Appears in Collections:Reports, Dept. of Economics

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