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

. Journal of Econometrics, 111 (2): 355--361 (December 2002)

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Inference in a nearly integrated autoregressive model with nonnormal innovations, and . Journal of Econometrics, 80 (2): 269--286 (October 1997)Simultaneous equations with covariance restrictions, and . Journal of Econometrics, 44 (1-2): 25--39 (00 1990)Handbook of Econometrics. Volume 2, chapter Chapter 15 Approximating the distributions of econometric estimators and test statistics, page 881--935. Elsevier, (1984)The Influence of Var Dimensions on Estimator Biases: Comment, , and . Econometrica, 71 (1): 377--383 (Jan 1, 2003)doi: 10.1111/1468-0262.00401.Identification in Parametric Models. Econometrica, 39 (3): pp. 577-591 (1971)Some elementary distribution theory for an autoregression fitted to a random walk. Journal of Econometrics, 111 (2): 355--361 (December 2002)