On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors
AbstractIn 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 InfoArticle 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)
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- Abadir, Karim M. & Distaso, Walter, 2007.
"Testing joint hypotheses when one of the alternatives is one-sided,"
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- K Abadir & W Distaso, . "Testing joint hypotheses when one of the alternatives is one-sided," Discussion Papers 05/13, Department of Economics, University of York.
- 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.
- Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.
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