Discussion Paper
Time Series Regression with a Unit Root
This paper studies the random walk in a general time series setting that allows for weakly dependent and heterogeneously distributed innovations of the type recently considered in [39] and [40]. It is shown that simple least squares regression consistently estimates a unit root under very general conditions in spite of the presence of autocorrelated errors. The limiting distribution of the standardized estimator and the associated regression t-statistic are found using functional central limit theory.