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

Record type: Article

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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Citation

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), pp. 71-88.

More information

Published date: February 1998

Identifiers

Local EPrints ID: 33392
URI: http://eprints.soton.ac.uk/id/eprint/33392
ISSN: 0020-6598
PURE UUID: 91fd2f78-82b5-4348-959b-3f63cbbb3996

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Date deposited: 13 Dec 2007
Last modified: 17 Jul 2017 15:52

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Contributors

Author: Jesús Gonzalo
Author: Jean-Yves Pitarakis

University divisions


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