On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors
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Other versions of this item:
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 1995. "On the exact moments of non-standard asymptotic distributions in non stationary autoregressions with dependent errors," DES - Working Papers. Statistics and Econometrics. WS 4513, Universidad Carlos III de Madrid. Departamento de Estadística.
- GONZALO , Jesus & PITARAKIS , Jean-Yves, 1995. "On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors," CORE Discussion Papers 1995034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
References listed on IDEAS
- Hisamatsu, Hiroyuki & Maekawa, Koichi, 1994. "The distribution of the Durbin-Watson statistic in integrated and near-integrated models," Journal of Econometrics, Elsevier, vol. 61(2), pages 367-382, April.
- Abadir, Karim M. & Larsson, Rolf, 2001.
"The Joint Moment Generating Function Of Quadratic Forms In Multivariate Autoregressive Series,"
Cambridge University Press, vol. 17(01), pages 222-246, February.
- Abadir, Karim M. & Larsson, Rolf, 1996. "The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series," Econometric Theory, Cambridge University Press, vol. 12(04), pages 682-704, October.
- Abadir, Karim & Larson, Rolf, 1994. "The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series," Discussion Papers 9404, Exeter University, Department of Economics.
- Evans, G B A & Savin, N E, 1984. "Testing for Unit Roots: 2," Econometrica, Econometric Society, vol. 52(5), pages 1241-1269, September.
- Knight, J.L. & Satchell, S.E., 1993. "Asymptotic Expansions for Random Walks with Normal Errors," Econometric Theory, Cambridge University Press, vol. 9(03), pages 363-376, June.
- Evans, G B A & Savin, N E, 1981. "Testing for Unit Roots: 1," Econometrica, Econometric Society, vol. 49(3), pages 753-779, May.
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