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

DOI10.1080/00949659208811411MaRDI QIDQ5287312zbMATH OpenOpenAlexFDO

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

• On the Statistical Treatment of Linear Stochastic Difference Equations
• Testing For Unit Roots: 1
• The exact moments of the least squares estimator for the autoregressive model
• 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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