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MOMENT GENERATING FUNCTIONS AND FURTHER EXACT RESULTS FOR SEASONAL AUTOREGRESSIONS

Published online by Cambridge University Press:  01 December 1998

Jean-Yves Pitarakis
Jean-Yves Pitarakis
Affiliation:
University of Reading
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Abstract

This paper derives the joint moment generating function of quadratic forms occurring in seasonal autoregressive models under stationary, unit root, and explosive specifications. The results are then used to investigate the impact of the seasonal periodicity parameter on various distributional results for both the normalized ordinary least squares coefficient and t-ratio and its effects on the asymptotic bias of parameter estimates.

Type
Research Article
Information
Econometric Theory , Volume 14 , Issue 6 , December 1998 , pp. 770 - 782
Copyright
© 1998 Cambridge University Press

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