ON THE EXACT MOMENTS OF ASYMPTOTIC DISTRIBUTIONS IN AN UNSTABLE AR(1)WITH DEPENDENT ERRORS

Authors
GONZALO J PITARAKIS JY
Citation
J. Gonzalo et Jy. Pitarakis, ON THE EXACT MOMENTS OF ASYMPTOTIC DISTRIBUTIONS IN AN UNSTABLE AR(1)WITH DEPENDENT ERRORS, International economic review, 39(1), 1998, pp. 71-88
Citations number
27
Categorie Soggetti
Economics
Journal title
International economic review → ACNP
ISSN journal
00206598
Volume
39
Issue
1
Year of publication
1998
Pages
71 - 88
Database
ISI
SICI code
0020-6598(1998)39:1<71:OTEMOA>2.0.ZU;2-Q
Abstract
In this paper we derive the exact moments of asymptotic distributions of the OLS estimate and t-statistic in an unstable AR(1) with dependen t errors. We also study the relationship between the number of lagged dependent variables required for matching the distribution moments in the 'approximately i.i.d. errors' model with those occurring in the 'p urely i.i.d.' model.