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A note on the distribution of the least squares estimator of a random walk with drift

Опубликовано на портале: 06-04-2004
Economics Letters. 1989.  Vol. 29. No. 3. P. 225-230. 
Тематический раздел:
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.

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http://www.sciencedirect.com/science?_ob=IssueURL&_tockey=%23TOC%235860%231989%23999709996%23288228%23FLP%23Volume_29,_Issue_3,_Pages_199-280_(1989)&_auth=y&wchp=dGLbVzb-lSztW&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=338b904e0a1491e7c56fa22e5ffd0e27
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