The Augmented Dickey Fuller (ADF)t-Statistic

question 34

Multiple Choice

The Augmented Dickey Fuller (ADF) t-statistic

• A)has a normal distribution in large samples.
• B)has the identical distribution whether or not a trend is included or not.
• C)is a two-sided test.
• D)is an extension of the Dickey-Fuller test when the underlying model is AR(p)rather than AR(1).

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