Dear all,
I'm interested in fitting time-series linear models with I(1) errors. Namely
given
y_t=a+b*t+u_t
the random term u_t are such that
u_t-u_{t-1}=e_t~iid N(0,\sigma)
Please, could anyone suggest me any reference (book, article, R functions)
dealing with such models?
Many thanks in advance,
regards,
vito