A Distribution Generating Equation for Unit-Root Statistics

Posted: 22 Jan 2012

See all articles by Karim M. Abadir

Karim M. Abadir

Imperial College Business School

Date Written: January 21, 2012

Abstract

A unified framework to derive the distribution of conventional statistics under a unit root is presented. It is based on formulae which can generate (analytically as well as numerically) the densities and distributions of statistics such as the t ratio, the normalized autocorrelation coefficient, and many more. The name density (or distribution) generating equation is given to these formulae. As a practical example, the numerical and analytical aspects of the distribution of the t ratio under a unit root are discussed. Suggestions for further applications and extensions of these formulae are also given.

Suggested Citation

Abadir, Karim M., A Distribution Generating Equation for Unit-Root Statistics (January 21, 2012). Available at SSRN: https://ssrn.com/abstract=1989474

Karim M. Abadir (Contact Author)

Imperial College Business School ( email )

South Kensington Campus
Exhibition Road
London SW7 2AZ, SW7 2AZ
United Kingdom

HOME PAGE: http://www3.imperial.ac.uk/portal/page?_pageid=61,629646&_dad=portallive&_schema=PORTALLIVE

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