JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS

DOI10.1111/j.1467-9892.1992.tb00093.xzbMath0758.62034MaRDI QIDQ4012960

Alastair R. Hall

Publication date: 27 September 1992

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00093.x

zbMATH Keywords

moving average process; random walk; drift; Dickey-Fuller test; instrumental variable estimators

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

62M02: Markov processes: hypothesis testing

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