In this study we show that a random walk model with drift and first order autocorrelated errors, AR(1), behaves like an ARIMA(1,1,0). The last one is extracted from the unrestricted model of the Augmented Dickey Fuller test using as an explanatory variable a lag of order one difference of the...

In this study, using Monte Carlo simulations, we evaluate three alternative methods for constructing confidence intervals for the population mean in the case of a stationary first order autoregressive process, AR(1), with parameter ф. Differentiating the three methodologies with respect to the...