4
$\begingroup$

Which paper first introduces the Augmented Dickey Fuller (ADF) test?

Was it introduced in the original paper? I can not really see it...

$\endgroup$

1 Answer 1

1
$\begingroup$

If you want to access the original paper, you can get it on researchgate: https://www.researchgate.net/publication/243644934_Distribution_of_the_Estimators_for_Autoregressive_Time_Series_With_a_Unit_Root

However, they do not call it Augmented Dickey Fuller Test by themselves, that would be a little egomaniac. If you search for a source which "named" it ADF then this might be not the real source. But it may be the source for invention of the test, as they deal clearly with stationarity and the search for a unit root and the respective hypotheses in the ADF-Test.

And this paper is also referred by statsmodels (python library for time series) in this paper: So I believe you are on the right track.

This paper here highlights crictial thresholds for testa and also cites your resource. https://www.econ.queensu.ca/sites/econ.queensu.ca/files/wpaper/qed_wp_1227.pdf

$\endgroup$

Your Answer

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

Not the answer you're looking for? Browse other questions tagged or ask your own question.