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

DOI10.1111/j.1467-9892.1992.tb00093.xzbMath0758.62034OpenAlexW1987714943MaRDI 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 processrandom walkdriftDickey-Fuller testinstrumental variable estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Markov processes: hypothesis testing (62M02)

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