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), pp. 71-88.

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Description/Abstract

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.

Item Type: Article
ISSNs: 0020-6598 (print)
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ePrint ID: 33392
Date :
Date Event
February 1998Published
Date Deposited: 13 Dec 2007
Last Modified: 16 Apr 2017 22:16
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/33392

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