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

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

Author Info

Vinod, H.D.
Shenton, L.R.

Additional information is available for the following registered author(s):

Hrishikesh D. Vinod

Abstract

For a first-order autoregressive AR(1) model with zero initial value, xi = axi . Brownian motion approximations by Phillips (1977, Econometrica 45, 463 98; 1987, Econometrica 55, 277 346), and Perron (1991, Econometric Theory 7, 236 236), among others, yield an elegant unified theory but do not yield convenient formulas for calibration of skewness and kurtosis. In addition to the usual stationary case | | = 1 case of the random walk model. For the | 94) model B, where the initial value x0 is a normal random variable N(0, l or 2.

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Publisher 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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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. [Downloadable!]
Other versions:
- 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," Economics and Finance Discussion Papers 04-05, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
Giovanni Forchini, . "The Density of the Sufficient Statistics for a Gaussian AR(1) Model in Terms of Generalized Functions," Discussion Papers 00/06, Department of Economics, University of York. [Downloadable!]
Other versions:
- 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. [Downloadable!] (restricted)

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