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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Web page: http://www.econ.upenn.edu/ier
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Other versions of this item:
- Gonzalo, Jesús & Pitarakis, Jean-Yves, . "On the exact moments of asymptotic distributions in an unstable Ar(1) with dependent errors," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/752, Universidad Carlos III de Madrid.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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