Mirror image distributions and the Dickey-Fuller regression with a maintained trend

DOI10.1016/0304-4076(94)01724-7zbMath0848.62046OpenAlexW2006235195MaRDI QIDQ1915473

Niels Haldrup

Publication date: 15 July 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01724-7

zbMATH Keywords

tablesrandom walkunit rootsdeterministic trends\(t\)-testDickey-Fuller testAR-roottrend \(t\)-statistic

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)

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The cointegrated vector autoregressive model with general deterministic terms, Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate, A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence

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