Journal article
The exact moments of the least-squares estimator for the autoregressive model corrections and extensions
Journal of econometrics, Vol.37(3), pp.381-388
03/01/1988
DOI: 10.1016/0304-4076(88)90012-7
Abstract
For a first-order autoregressive model with unknown intercept and normal errors the mean and variance of the finite-sample distribution of the least-squares estimator of the autoregressive parameter are numerically computed using formulae for evaluating the first and second moments of a ratio of two quadratic forms in normally distributed variables. Previous results in the literature are corrected and results for the case where the value of the autoregressive parameter is near unity in absolute value are presented.
Details
- Title: Subtitle
- The exact moments of the least-squares estimator for the autoregressive model corrections and extensions
- Creators
- J.C. Nankervis - City of London Polytechnic, London EC2 6SQ, UKN.E. Savin - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Journal of econometrics, Vol.37(3), pp.381-388
- DOI
- 10.1016/0304-4076(88)90012-7
- ISSN
- 0304-4076
- eISSN
- 1872-6895
- Publisher
- Elsevier B.V
- Number of pages
- 8
- Language
- English
- Date published
- 03/01/1988
- Academic Unit
- Economics
- Record Identifier
- 9984963119402771
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