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A regression of the following form is run y = + 4y-1 + Mi and the estimate >= -0.02 is obtained with standard error
A regression of the following form is run y = + 4y-1 + Mi and the estimate >= -0.02 is obtained with standard error of 0.31. How to test for the total number of unit roots in y,?
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We will use augmented dickey fuller test Null hypothesis is Ho 0 Alt...
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Quantitative Investment Analysis
Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle
3rd edition
111910422X, 978-1119104544, 1119104548, 978-1119104223
