Gonzalo, Jesús and Pitarakis, Jean-Yves
On the exact moments of asymptotic distributions in an unstable AR(1) with dependent errors
International Economic Review, 39, (1), .
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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.
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