On the exact moments of asymptotic distributions in an unstable AR(1) with dependent errors
On the exact moments of asymptotic distributions in an unstable AR(1) with dependent errors
In this paper we derive the exact moments of asymptotic distributions of the OLS estimate and t - statistic in an unstable AR(1) with dependent errors. We also study the relationship between the number of lagged dependent variables required for matching the distribution moments in the 'approximately i.i.d. errors' model with those occurring in the 'purely i.i.d.' model.
71-88
Gonzalo, Jesús
48015f9d-eef0-4ebd-8f2b-cbe7aa0cf667
Pitarakis, Jean-Yves
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
February 1998
Gonzalo, Jesús
48015f9d-eef0-4ebd-8f2b-cbe7aa0cf667
Pitarakis, Jean-Yves
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
Gonzalo, Jesús and Pitarakis, Jean-Yves
(1998)
On the exact moments of asymptotic distributions in an unstable AR(1) with dependent errors.
International Economic Review, 39 (1), .
Abstract
In this paper we derive the exact moments of asymptotic distributions of the OLS estimate and t - statistic in an unstable AR(1) with dependent errors. We also study the relationship between the number of lagged dependent variables required for matching the distribution moments in the 'approximately i.i.d. errors' model with those occurring in the 'purely i.i.d.' model.
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Published date: February 1998
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Local EPrints ID: 173939
URI: http://eprints.soton.ac.uk/id/eprint/173939
ISSN: 0020-6598
PURE UUID: 8202edf2-8a28-4bc4-a9cc-1419df610f39
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Date deposited: 09 Feb 2011 10:08
Last modified: 08 Jan 2022 02:58
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Author:
Jesús Gonzalo
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