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JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS

 

作者: Alastair Hall,  

 

期刊: Journal of Time Series Analysis  （WILEY Available online 1992）
卷期: Volume 13, issue 1  

页码: 29-45

 

ISSN:0143-9782

 

年代: 1992

 

DOI:10.1111/j.1467-9892.1992.tb00093.x

 

出版商: Blackwell Publishing Ltd

 

关键词: Economic time series;random walk;Dickey‐Fuller statistics;instrumental variable estimators;moving‐average process

 

数据来源: WILEY

 

摘要:

Abstract.In this paper we propose test statistics for the null hypothesis of a random walk or a random walk with drift for the case in which the innovations to the series are a moving‐average process. The statistics are based on the instrumental variable estimators proposed by Hall and by Pantula and Hall and are shown to have the limiting distributions tabulated by Dickey and Fulle

 

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