Some elementary distribution theory for an autoregression fitted to a random walk.

DOI10.1016/S0304-4076(02)00110-0zbMath1099.62533MaRDI QIDQ1867745

Thomas J. Rothenberg

Publication date: 2 April 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Time seriesLegendre polynomialUnit rootPermutation argument

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15)

Cites Work

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• Asymptotics for linear processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for Unit Roots: 2
• Testing for a unit root in time series regression

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