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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.

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

## Catalogue record

Date deposited: 13 Dec 2007

## Contributors

Author: Jesús Gonzalo
Author: Jean-Yves Pitarakis