Numerical computation of exact moments of the least squares estimator in a first-order stationary autoregressive model

DOI10.1080/00949659208811411zbMath0775.62247OpenAlexW2054684082MaRDI QIDQ5287312

Albert K. Tsui, Mukhtar M. Ali

Publication date: 30 August 1993

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659208811411

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model ⋮ Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models

Cites Work

• The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model
• The exact moments of the least squares estimator for the autoregressive model
• Testing For Unit Roots: 1
• On the Statistical Treatment of Linear Stochastic Difference Equations

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