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

DOI10.1016/0167-9473(94)90022-1zbMATH Open0937.62638OpenAlexW2018077703MaRDI QIDQ1361520FDOQ1361520

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

Recommendations

• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
• APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS
• The approximate moments of the least squares estimator for the stationary autoregressive model under a general error distribution
• scientific article; zbMATH DE number 758243

zbMATH Keywords

momentsdistribution functiontrigonometric functionjoint characteristic functions

Mathematics Subject Classification ID

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

Cites Work

• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• Computing the distribution of quadratic forms in normal variables
• Note on the inversion theorem
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Title not available (Why is that?)
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Estimation for autoregressive processes with unit roots
• The exact moments of the least squares estimator for the autoregressive model
• Testing For Unit Roots: 1
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Title not available (Why is that?)
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Testing for Unit Roots: 2
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• Title not available (Why is that?)
• Stability Theory for the Damped Sine-Gordon Equation
• Inversion Formulae for the Distribution of Ratios
• Asymptotic distribution of an estimator of the boundary parameter of an unstable process
• Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations
• The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model
• Title not available (Why is that?)
• Serial Correlation and Quadratic Forms in Normal Variables
• Further Contributions to the Problem of Serial Correlation
• Numerical computation of exact moments of the least squares estimator in a first-order stationary autoregressive model
• The distribution of the maximum likelihood estimator of the parameter in the first-order autoregressive series

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
• Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors
• Bias correction of OLSE in the regression model with lagged dependent variables.
• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
• APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS
• Finite Sample Analysis of the First Order Autoregressive Model
• From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more
• The approximate moments of the least squares estimator for the stationary autoregressive model under a general error distribution
• Title not available (Why is that?)
• 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

Uses Software

• IMSL Numerical Libraries

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