I am trying to replicate the distributions for the Dickey-Fuller Unit Root test, but I had no success.

I tried reading the original paper (but explains more of the 70's computing than about the simulation itself) and also following the steps on Enders' "Applied Econometric Time Series" book.

Does anybody have a good source for replicating this simulation? A book? A paper? Code on any language?


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.