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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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