Unit Root Testing in Integer-Valued Ar(1) Models

Posted: 6 Jul 2009

See all articles by Jörgen Hellström

Jörgen Hellström

Umeå University - Umeå School of Business and Economics

Date Written: June 15, 2000

Abstract

We focus on the testing of a unit root in the integer-valued autoregression of order one. Finite sample distributions for a Dickey-Fuller test of a random walk with drift with Poisson distributed and, hence, skewed errors are obtained by Monte Carlo simulation.

Keywords: time series, count data, random walk with drift, Poisson errors

JEL Classification: C12, C22, C25

Suggested Citation

Hellström, Jörgen, Unit Root Testing in Integer-Valued Ar(1) Models (June 15, 2000). Economics Letters, Vol. 70, 2001. Available at SSRN: https://ssrn.com/abstract=1427423

Jörgen Hellström (Contact Author)

Umeå University - Umeå School of Business and Economics ( email )

Umea, 90187
Sweden
+46-90-7866987 (Phone)

HOME PAGE: http://www.usbe.umu.se/english/about/staff/?languageId=1&uid=johe0001

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