Hostname: page-component-cd9895bd7-gxg78 Total loading time: 0 Render date: 2024-12-29T00:58:18.127Z Has data issue: false hasContentIssue false
  • English
  • Français

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
Get access Rights & Permissions [Opens in a new window]

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

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)