Title of article :
Some elementary distribution theory for an autoregression fitted to a random walk
Author/Authors :
Rothenberg، نويسنده , , Thomas J، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2002
Abstract :
A permutation argument is used to derive some properties of regression coefficients in an autoregressive time series model with a polynomial trend and a unit root.
Keywords :
Legendre polynomial , Permutation argument , Unit root , Time series
Journal title :
Journal of Econometrics
Journal title :
Journal of Econometrics
