On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors
In this paper we derive the exact moments of the asymptotic distributions of the OLS estimate and t-statistic in an unstable AR(1) with dependent errors. We can therefore establish theoretically and without simulations, the distortions induced by the presence of non iid errors on inferences as judged by their impact on the moments of the limiting distributions. In addition we study the relationship between the number of lagged dependent variables required for matching the moments of the distribution in the "approximately iid errors" model with those occuring in the purely iid case. Our framework allows us to distinguish explicitly between different types of error processes and study their implications for the lag length selection. A very accurate normal approximation also allows us to obtain approximate magnitudes for the size distortions when the iid based distributions are used for inferences.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1995|
|Contact details of provider:|| Postal: 270 Bay State Road, Boston, MA 02215|
Web page: http://www.bu.edu/econ/
More information through EDIRC
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.:
- 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. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:fth:bostec:35. 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: (Thomas Krichel)
If references are entirely missing, you can add them using this form.