This paper considers the distribution of the Dickey-Fuller test in a model with non-zero initial value and drift and trend. We show how stochastic integral representations for the limiting distribution can be derived either from the local to unity approach with local drift and trend or from the...

The authors consider the time series regression model where the error term follows a nonstable autoregressive process and present a general approach for delivering the limiting distribution of a normalized estimator for the autoregressive parameter. The present approach is quite straightforward...

Let Rn-p, (n), Gl(p) and +(p) denote respectively the set of n-p matrices, the set of n-n orthogonal matrices, the set of p-p nonsingular matrices and the set of p - p positive definite matrices. In this paper, it is first shown that a bijective and bimeasurable transformation (BBT) g on...