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

DOI10.1080/00949659208811411zbMATH Open0775.62247OpenAlexW2054684082MaRDI QIDQ5287312FDOQ5287312

Authors: 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

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

Cites Work

• 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
• The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model

Cited In (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

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