Overview
David A. Dickey is a statistician at North Carolina State University, best known for the Dickey-Fuller unit root test developed jointly with Wayne A. Fuller, which became one of the most widely applied procedures in time series econometrics. His contributions span unit root testing, ARMA extensions, and cointegration diagnostics.
Key Contributions / Features
- Dickey-Fuller unit root test (1979, with W.A. Fuller): derives the limiting non-standard distribution of the OLS t-statistic in an AR(1) regression under the unit root null; provides simulation-based critical values that differ substantially from standard Student-t tables.
- Said-Dickey extension (1984, with S.E. Said): extends the DF test to ARMA processes of unknown order by approximating with a high-order AR(k) where k→∞ as T→∞, enabling practical application when the true error structure is non-AR.
- Cointegration primer (1991, with D.W. Jansen and D.L. Thornton): pedagogical comparison of Engle-Granger, Stock-Watson, and Johansen cointegration tests applied to U.S. money demand data.
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