DIETRICH, FRANZ K. - In: Econometrics Journal 4 (2001) 2, pp. 5-5
We consider the limiting distribution of the t -statistic for testing the random walk hypothesis in the classical Gaussian AR(1) model. Abadir (1995, Econometric Theory, 11, 775793) derived the first derives a closed (i.e. integration-free) expression for the limit-ing distribution function....