Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association · 1979 · 23K citations · Full text

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Distribution of the Estimators for Autoregressive Time Series With a Unit Root

David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association · 1979 · 9.1K citations

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The Advanced Theory of Statistics.

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