文章基本信息
- 标题：The Behaviour of Dickey Fuller Test in the Case of Noisy Data: To What Extent We Can Trust the Outcome
- 本地全文：下载
- 作者：- Stephen G.Hall ; Sahar S. Qaqeesh
- 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.
