期刊名称：Discussion Papers / University of Leicester, Department of Economics
出版年度：2009
卷号：2009
出版社：Leicester
摘要：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.
关键词：Hypothesis testing; Unit root test, Monte Carlo Analysis.
