Time Series Regression with a Unit Root
This paper studies the random walk, in a general time series setting that allows for weakly dependent and heterogeneously distributed innovations. It is shown that simple least squares regression consistently estimates a unit root under very general conditions in spite of the presence of autocorrela...
| Veröffentlicht in: | Econometrica. - Wiley. - 55(1987), 2, Seite 277-301 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1987
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| Zugriff auf das übergeordnete Werk: | Econometrica |
| Schlagworte: | Unit root, time series, functional limit theory, Wiener process, weak dependence, continuous record, asympototic expansion Information science Mathematics Philosophy Economics |