On the exact moments of asymptotic distributions in an unstable AR(1) with dependent errors


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), 71-88.

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Description/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.

Item Type: Article
ISSNs: 0020-6598 (print)
Related URLs:
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HA Statistics
Divisions: University Structure - Pre August 2011 > School of Social Sciences > Economics
ePrint ID: 33392
Date Deposited: 13 Dec 2007
Last Modified: 27 Mar 2014 18:20
URI: http://eprints.soton.ac.uk/id/eprint/33392

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