Some elementary distribution theory for an autoregression fitted to a random walk

Journal of Econometrics

Volumn 111, Issue 2, 2002, Pages 355-361

  Rothenberg, Thomas J ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Legendre polynomial; Permutation argument; Time series; Unit root

Indexed keywords

LEAST SQUARES APPROXIMATIONS; POLYNOMIALS; RANDOM PROCESSES; REGRESSION ANALYSIS;

AUTOREGRESSION MODELS;

TIME SERIES ANALYSIS;

EID: 0346724450     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(02)00110-0     Document Type: Conference Paper

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