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

DOI10.1016/0167-9473(94)90022-1MaRDI QIDQ1361520zbMATH OpenOpenAlexFDO

Authors 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

momentsdistribution functiontrigonometric functionjoint characteristic functions

Mathematics Subject Classification ID

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

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Cites work

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• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
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• Computing the distribution of quadratic forms in normal variables
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• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• Estimation for autoregressive processes with unit roots
• Further Contributions to the Problem of Serial Correlation
• Inversion Formulae for the Distribution of Ratios
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• Note on the inversion theorem
• Numerical computation of exact moments of the least squares estimator in a first-order stationary autoregressive model
• On the Statistical Treatment of Linear Stochastic Difference Equations
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• Stability Theory for the Damped Sine-Gordon Equation
• Testing For Unit Roots: 1
• Testing for Unit Roots: 2
• Testing for a unit root in time series regression
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model
• The distribution of the maximum likelihood estimator of the parameter in the first-order autoregressive series
• The exact moments of the least squares estimator for the autoregressive model

Cited in

(20)

• Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
• Moments of AR(1)-Model Estimators
• The Exact Moments of Ordinary Least Squares Estimators for Koyck Distributed Lag Models
• Local asymptotic distribution related to the AR(1) model with dependent errors
• The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
• Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
• Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
• On least-squares bias in the \(AR(p)\) model: Bias correction using the bootstrap methods
• Bias correction of OLSE in the regression model with lagged dependent variables.
• Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors
• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
• APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS
• From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more
• Finite Sample Analysis of the First Order Autoregressive Model
• The approximate moments of the least squares estimator for the stationary autoregressive model under a general error distribution
• scientific article; zbMATH DE number 4011739 (Why is no real title available?)
• Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
• Moment approximation for least-squares estimator in first-order regression models with unit root and nonnormal errors
• Effect of autocorrelation estimators on the performance of the X̄ control chart

Describes a project that uses

Uses Software

• IMSL Numerical Libraries

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