Опубликовано на портале: 06-04-2004Svend Hylleberg, Grayham E. Mizon Economics Letters. 1989. Vol. 29. No. 3. P. 225-230.
It is shown that the application of the result that the Dickey-Fuller `T' obtained from a regression with an intercept is asymptotically normal if the DGP is a random walk with drift may be of little use in small samples unless the drift is enormous. In fact the Dickey-Fuller distribution may give a better approximation in many case.