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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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.
|Subjects:||H Social Sciences > HB Economic Theory
H Social Sciences > HA Statistics
|Divisions :||University Structure - Pre August 2011 > School of Social Sciences > Economics
|Accepted Date and Publication Date:||
|Date Deposited:||13 Dec 2007|
|Last Modified:||31 Mar 2016 11:59|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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