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The Density of the Sufficient Statistics for a Gaussian AR(1) Model in Terms of Generalized Functions

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Author Info
Giovanni Forchini

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Abstract

This paper derives the exact joint distribution of the minimal sufficient statistics in the first-order AR(1) model with Gaussian errors and zero start-up value. The results are fundamental to an exact distribution theory for the statistics that are typically of interest in this model.

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Paper provided by Department of Economics, University of York in its series Discussion Papers with number 00/06.

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Handle: RePEc:yor:yorken:00/06

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Related research
Keywords: Gaussian AR(1) Generalized Functions.

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  1. Nankervis, J. C. & Savin, N. E., 1988. "The exact moments of the least-squares estimator for the autoregressive model corrections and extensions," Journal of Econometrics, Elsevier, vol. 37(3), pages 381-388, March. [Downloadable!] (restricted)
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This page was last updated on 2008-8-19.

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