Unit Root Testing in Integer-Valued Ar(1) Models
Posted: 6 Jul 2009
Date Written: June 15, 2000
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: Suggested Citation