Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression (Q2489787)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression |
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Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression (English)
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28 April 2006
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AR(1)
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OLS estimator
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Unit-root process
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Parameter-based asymptotic theory
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Small-sigma asymptotic theory
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Large-sample asymptotic theory
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Approximations to exact distributions
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