Advanced Search
MyIDEAS: Login to save this article or follow this journal

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

Contents:

Author Info

  • Hylleberg, Svend
  • Mizon, Grayham E.

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6V84-458WN19-CG/2/fd3987f078fce078d9b5769074e01940
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 29 (1989)
Issue (Month): 3 ()
Pages: 225-230

as in new window
Handle: RePEc:eee:ecolet:v:29:y:1989:i:3:p:225-230

Contact details of provider:
Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Bierens, H.J., 1990. "A note on the limiting distribution of sample autocorrelations in the presence of a unit root," Serie Research Memoranda 0034, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  2. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2003. "Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend," Working Papers 29, Barcelona Graduate School of Economics.
  3. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
  4. Paulo M. M. Rodrigues & Antonio Rubia, 2004. "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics 0405004, EconWPA.
  5. Marc Hallin & Ramon van den Akker & Bas J.M. Werker, 2011. "A class of simple distribution-free rank-based unit root tests," Post-Print hal-00834424, HAL.
  6. Pere, Pekka, 2000. "Adjusted estimates and Wald statistics for the AR(1) model with constant," Journal of Econometrics, Elsevier, vol. 98(2), pages 335-363, October.
  7. Daniela De Angelis & Stefano Fachin & G. Alastair Young, 1997. "Bootstrapping unit root tests," Applied Economics, Taylor & Francis Journals, vol. 29(9), pages 1155-1161.
  8. Robertson, Donald & Wright, Stephen, 1998. "The Good News and the Bad News about Long-run Stock Market Returns," Cambridge Working Papers in Economics 9822, Faculty of Economics, University of Cambridge.
  9. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "Testing I(1) against I(d) alternatives in the presence of deteministic components," Economics Working Papers 957, Department of Economics and Business, Universitat Pompeu Fabra.
  10. Haldrup, Niels & Hylleberg, Svend, 1995. "A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence," Economics Letters, Elsevier, vol. 48(3-4), pages 221-228, June.
  11. Yiuman Tse & G. Booth, 1995. "The relationship between U.S. and eurodollar interest rates: Evidence from the futures market," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 131(1), pages 28-46, March.
  12. Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," Working Papers ECARES 2009_001, ULB -- Universite Libre de Bruxelles.
  13. Hellstrom, Jorgen, 2001. "Unit root testing in integer-valued AR(1) models," Economics Letters, Elsevier, vol. 70(1), pages 9-14, January.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:29:y:1989:i:3:p:225-230. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.