Hasza, David P.; Fuller, Wayne A. Estimation for autoregressive processes with unit roots. (English) Zbl 0419.62068 Ann. Stat. 7, 1106-1120 (1979). Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page Cited in 3 ReviewsCited in 20 Documents MSC: 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62F03 Parametric hypothesis testing 62F05 Asymptotic properties of parametric tests 62E20 Asymptotic distribution theory in statistics 65C05 Monte Carlo methods Keywords:autoregressive processes; unit roots; stochastic difference equation; least squares estimator; least squares regression; time trend; intercept terms; estimated percentiles; Monte Carlo method; time series; test; non stationarity PDFBibTeX XMLCite \textit{D. P. Hasza} and \textit{W. A. Fuller}, Ann. Stat. 7, 1106--1120 (1979; Zbl 0419.62068) Full Text: DOI