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

Alastair Hall

Journal of Time Series Analysis, 1992, vol. 13, issue 1, 29-45

Abstract: 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 Fuller.

Date: 1992
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https://doi.org/10.1111/j.1467-9892.1992.tb00093.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:13:y:1992:i:1:p:29-45

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