A note on the distribution of the least squares estimator of a random walk with a linear trend (Q1206325)
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scientific article; zbMATH DE number 148809
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the distribution of the least squares estimator of a random walk with a linear trend |
scientific article; zbMATH DE number 148809 |
Statements
A note on the distribution of the least squares estimator of a random walk with a linear trend (English)
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1 April 1993
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distribution of least squares estimator
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asymptotic normality
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Dickey- Fuller \(t\)-statistic
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data generating process
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random walk
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linear trend
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small samples
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slope coefficient
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drift
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Dickey-Fuller distribution
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