A note on the distribution of the least squares estimator of a random walk with a linear trend

DOI10.1016/0165-1765(92)90046-2zbMath0761.62165OpenAlexW2004462916MaRDI QIDQ1206325

Francisco J. Goerlich

Publication date: 1 April 1993

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(92)90046-2

zbMATH Keywords

asymptotic normalityrandom walkdriftdata generating processlinear trendsmall samplesslope coefficientDickey- Fuller \(t\)-statisticDickey-Fuller distributiondistribution of least squares estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Inference in Linear Time Series Models with some Unit Roots
• Asymptotic Normality, When Regressors Have a Unit Root

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