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|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.
|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|
|Description:||Updated 18/09/2009. Updated 21/09/2009.|
|Appears in Collections:||Reports, Dept. of Economics|
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