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-HzbMATH Open0875.90205OpenAlexW2053186038MaRDI QIDQ672879FDOQ672879
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
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Cites Work
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- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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- Asymptotic inference for nearly nonstationary AR(1) processes
- Testing for a unit root in time series regression
- Towards a unified asymptotic theory for autoregression
- Time Series Regression with a Unit Root
- The Parameter Inference for Nearly Nonstationary Time Series
- Near-integration and deterministic trends
- Mirror image distributions and the Dickey-Fuller regression with a maintained trend
Cited In (14)
- A new method of testing for a unit root in the INAR(1) model based on variances
- Unit root testing in integer-valued AR(1) models
- A note on the distribution of the least squares estimator of a random walk with a linear trend
- Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
- Near-integration and deterministic trends
- 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
- Asymptotic theory for linear diffusions under alternative sampling schemes
- Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
- Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
- Fractional cointegration in the presence of linear trends
- Least squares estimators for unit root processes with locally stationary disturbance
- Sums of exponentials of random walks with drift
- How close is a fractional process to a random walk with drift?
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