Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model

DOI10.1016/0167-9473(94)90022-1zbMath0937.62638OpenAlexW2018077703MaRDI QIDQ1361520

Albert K. Tsui, Mukhtar M. Ali

Publication date: 25 August 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(94)90022-1

zbMATH Keywords

momentstrigonometric functiondistribution functionjoint characteristic functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

On least-squares bias in the \(AR(p)\) model: Bias correction using the bootstrap methods ⋮ From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more ⋮ The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators ⋮ DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL ⋮ Exact distribution and moments for the RLS estimate in a time-varying AR(1) process ⋮ Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models ⋮ Effect of autocorrelation estimators on the performance of the X̄ control chart ⋮ Bias correction of OLSE in the regression model with lagged dependent variables. ⋮ Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process

Uses Software

• IMSL Numerical Libraries

Cites Work

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