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
1998
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), .
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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Published date: 1998
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Local EPrints ID: 33390
URI: http://eprints.soton.ac.uk/id/eprint/33390
PURE UUID: ba6834fe-310b-4fc7-8240-0345c772c7e8
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Date deposited: 21 Dec 2006
Last modified: 09 Jan 2022 03:12
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