A note on the distribution of the least squares estimator of a random walk with drift推荐.pdfVIP

economics letters ELSEVIER Economics Letters 48 (1995) 221-228 A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence Niels Haldrup*, Svend Hylleberg Department of Economics, University of Aarhus, Universitetsparken, Building 350, Aarhus C, DK-8000, Denmark Received 18 July 1994; accepted 25 July 1994 Abstract In this paper we define the notion of a local drift in a unit root process. The theory provides a bridge between the apparent diverging asymptotic theories that apply when a drift is either present or absent in an integrated time-series. Our asymptotic results help to explain the Monte Carlo results of Hylleberg and Mizon (Economics Letters, 1989, 29, 225-230) and Schmidt (Advances in Econometrics, 1988, 8, 161-200). Keywords: Unit roots; Local drift; Brownian motion JEL classification: C12; C22 1. Introduction Within the Dickey-Fuller class of tests for unit roots it is well known that estimators and test statistics of various hypotheses will have non-standard limiting distributions. However, if the underlying process is stationary the usual Gaussian theory of inference applies asymp- totically, even when the root is very close to one. The limiting distributions will thus exhibit a discontinuity at unity, see, for example, Dickey and Fuller