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Exact Moments for Autor1egressive and Random walk Models for a Zero or Stationary Initial Value

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  • Vinod, H.D.
  • Shenton, L.R.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 12 (1996)
Issue (Month): 03 (August)
Pages: 481-499

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Handle: RePEc:cup:etheor:v:12:y:1996:i:03:p:481-499_00

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Cited by:
  1. Steve Lawford & Michalis P. Stamatogiannis, 2008. "The Finite-Sample E ects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators," Working Paper Series 13-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
  2. Forchini, G., 2000. "The density of the sufficient statistics for a Gaussian AR(1) model in terms of generalized functions," Statistics & Probability Letters, Elsevier, vol. 50(3), pages 237-243, November.
  3. Yu, Jun, 2012. "Bias in the estimation of the mean reversion parameter in continuous time models," Journal of Econometrics, Elsevier, vol. 169(1), pages 114-122.
  4. Steve Lawford & Michalis P. Stamatogiannis, 2004. "The Finite-Sample Effects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators: Purely Nonstationary Case," Public Policy Discussion Papers 04-05, Economics and Finance Section, School of Social Sciences, Brunel University.
  5. Vinod, Hrishikesh D., 2006. "Maximum entropy ensembles for time series inference in economics," Journal of Asian Economics, Elsevier, vol. 17(6), pages 955-978, December.

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