Knight, J.L.; Satchell, S.E. - In: Econometric Theory 9 (1993) 03, pp. 363-376
The asymptotic distribution of the least-squares estimators in the random walk model was first found by White [17] and is described in terms of functional of Brownian motion with no closed form expression known. Evans and Savin [5,6] and others have examined numerically both the asymptotic and...