A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence

DOI10.1016/0165-1765(94)00637-HMaRDI QIDQ672879zbMATH OpenOpenAlexFDO

Authors Niels Haldrup, Svend Hylleberg

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

zbMATH Keywords

Brownian motionLocal driftUnit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Asymptotic inference for nearly nonstationary AR(1) processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Mirror image distributions and the Dickey-Fuller regression with a maintained trend
• Near-integration and deterministic trends
• Testing for a unit root in time series regression
• The Parameter Inference for Nearly Nonstationary Time Series
• Time Series Regression with a Unit Root
• Towards a unified asymptotic theory for autoregression

Cited in

(14)

• A note on the distribution of the least squares estimator of a random walk with a linear trend
• Near-integration and deterministic trends
• Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
• A new method of testing for a unit root in the INAR(1) model based on variances
• How close is a fractional process to a random walk with drift?
• Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
• Least squares estimators for unit root processes with locally stationary disturbance
• Unit root testing in integer-valued AR(1) models
• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• Moment approximation for least‐squares estimators in dynamic regression models with a unit root
• Mirror image distributions and the Dickey-Fuller regression with a maintained trend
• Sums of exponentials of random walks with drift
• Asymptotic theory for linear diffusions under alternative sampling schemes
• Fractional cointegration in the presence of linear trends

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