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.
Download
Full text not available from this repository.
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 |
| Item ID: | 33392 |
| Date Deposited: | 13 Dec 2007 |
| Last Modified: | 01 Jun 2011 11:32 |
| Contributors: | Gonzalo, Jesús (Author) Pitarakis, Jean-Yves (Author) |
| Date: | February 1998 |
| Status: | Published |
| URI: | http://eprints.soton.ac.uk/id/eprint/33392 |
Actions (login required)
 |
View Item |
