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).
Answer: D) is an extension of the Dickey-Fuller test when the underlying model is AR(p) rather than AR(1).
Economics
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