Exact Moments for Autor1egressive and Random walk Models for a Zero or Stationary Initial Value
For a first-order autoregressive AR(1) model with zero initial value, x i = ax i−1 ,_, + e i, we provide the bias, mean squared error, skewness, and kurtosis of the maximum likelihood estimator â. Brownian motion approximations by Phillips (1977, Econometrica 45, 463–485; 1978, Biometrika 65, 91–98; 1987, Econometrica 55, 277–301), Phillips and Perron (1988, Biometrika 75, 335–346), and Perron (1991, Econometric Theory 7, 236–252; 1991, Econometrica 59, 211–236), 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 |α|
Volume (Year): 12 (1996)
Issue (Month): 03 (August)
|Contact details of provider:|| Postal: |
Web page: http://journals.cambridge.org/jid_ECT
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:12:y:1996:i:03:p:481-499_00. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If references are entirely missing, you can add them using this form.