Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1997
This paper establishes the asymptotic distribution of extremum estimators when the true parameter lies on the boundary … of the parameter space. The boundary may be linear, curved, and/or kinked. The asymptotic distribution is a function of a … regressors, (3) LS estimation of an augmented Dickey-Fuller regression with unit root and time trend parameters on the boundary …