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On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors

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  • Gonzalo, Jesus
  • Pitarakis, Jean-Yves

Abstract

In this paper, the authors derive the exact moments of asymptotic distributions of the OLS estimate and t-statistic in an unstable AR(l) with dependent errors. The authors also study the relationship between the number of lagged dependent variables required for matching the distribution moments in the 'approximately i.i.d. erors' model with those occurring in the 'purely i.i.d.' model. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

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Bibliographic Info

Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 39 (1998)
Issue (Month): 1 (February)
Pages: 71-88

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Handle: RePEc:ier:iecrev:v:39:y:1998:i:1:p:71-88

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Cited by:
  1. Tomas del Barrio Castro & Denise R. Osborn, 2006. "A Random Walk through Seasonal Adjustment: Noninvertible Moving Averages and Unit Root Tests," The School of Economics Discussion Paper Series, Economics, The University of Manchester 0612, Economics, The University of Manchester.
  2. Marcus J Chambers & Maria Kyriacou, 2010. "Jackknife Bias Reduction in the Presence of a Unit Root," Economics Discussion Papers, University of Essex, Department of Economics 685, University of Essex, Department of Economics.
  3. Martinez, O. & Olmo, J., 2008. "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Working Papers, Department of Economics, City University London 08/08, Department of Economics, City University London.
  4. K Abadir & W Distaso, . "Testing joint hypotheses when one of the alternatives is one-sided," Discussion Papers, Department of Economics, University of York 05/13, Department of Economics, University of York.
  5. Chambers, Marcus J. & Kyriacou, Maria, 2012. "Jackknife bias reduction in autoregressive models with a unit root," MPRA Paper 38255, University Library of Munich, Germany.
  6. Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.
  7. Abadir, Karim M. & Lucas, Andre, 2000. "Quantiles for t-statistics based on M-estimators of unit roots," Economics Letters, Elsevier, vol. 67(2), pages 131-137, May.

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