Economics, Econometrics and Finance
8 years ago

New study reveals groundbreaking method for testing time series accuracy!

Journal of the American Statistical Association
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey, Wayne A. Fuller

Paper Summary

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The article explores how to analyze time series data with a unit root, focusing on the estimator for a specific parameter. By studying the properties of this estimator when the parameter equals 1, the researchers were able to determine the distribution of the estimator and a test statistic. These findings provide a way to test the hypothesis that the parameter is indeed equal to 1 in the time series data.