A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
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Publication:672879
DOI10.1016/0165-1765(94)00637-HzbMath0875.90205OpenAlexW2053186038MaRDI QIDQ672879
Svend Hylleberg, Niels Haldrup
Publication date: 28 February 1997
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(94)00637-h
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Economic time series analysis (91B84)
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Cites Work
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- Asymptotic inference for nearly nonstationary AR(1) processes
- Near-integration and deterministic trends
- Mirror image distributions and the Dickey-Fuller regression with a maintained trend
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Testing for a unit root in time series regression
- Towards a unified asymptotic theory for autoregression
- The Parameter Inference for Nearly Nonstationary Time Series
- Time Series Regression with a Unit Root
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