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Moment generating functions and further exact results for seasonal autoregressions

Moment generating functions and further exact results for seasonal autoregressions
Moment generating functions and further exact results for seasonal autoregressions
This paper derives the joint moment generating function of quadratic forms occurring in seasonal autoregressive models under stationary, unit root, and explosive specifications. The results are then used to investigate the impact of the seasonal periodicity parameter on various distributional results for both the normalized ordinary least squares coefficient and t-ratio and its effects on the asymptotic bias of parameter estimates.
770-782
Pitarakis, J.-Y.
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
Pitarakis, J.-Y.
ee5519ae-9c0f-4d79-8a3a-c25db105bd51

Pitarakis, J.-Y. (1998) Moment generating functions and further exact results for seasonal autoregressions. Econometric Theory, 14 (6), 770-782.

Record type: Article

Abstract

This paper derives the joint moment generating function of quadratic forms occurring in seasonal autoregressive models under stationary, unit root, and explosive specifications. The results are then used to investigate the impact of the seasonal periodicity parameter on various distributional results for both the normalized ordinary least squares coefficient and t-ratio and its effects on the asymptotic bias of parameter estimates.

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More information

Published date: 1998

Identifiers

Local EPrints ID: 33390
URI: http://eprints.soton.ac.uk/id/eprint/33390
PURE UUID: ba6834fe-310b-4fc7-8240-0345c772c7e8
ORCID for J.-Y. Pitarakis: ORCID iD orcid.org/0000-0002-6305-7421

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Date deposited: 21 Dec 2006
Last modified: 09 Jan 2022 03:12

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