17.6. Distribution of OLS estimate of coefficient of unit root process (pure random walk)

17.7. Distribution of OLS estimates of the coefficient of unit root process (case of pure random walk)
본 영상은 OLS 방식으로 추정한 unit root process의 coefficient의 분포를 도출한다.
This video derives the distribution of the OLS estimate tracking coefficient of unit root process. Wald statistic, which tracks the same coefficient, and its distribution are also presented.
Click the following link to get the lecture note presented in the video.
drive.google.c...
★Reference: Hamilton, James Douglas. Time series analysis. Princeton university press, 2020.