Exact Moments for Autor1egressive and Random walk Models for a Zero or Stationary Initial Value

Hrishikesh D. Vinod and L.R. Shenton

Econometric Theory, 1996, vol. 12, issue 03, pages 481-499

Abstract: For a first-order autoregressive AR(1) model with zero initial value, xi = axi . Brownian motion approximations by Phillips (1977, Econometrica 45, 463 98; 1987, Econometrica 55, 277 346), and Perron (1991, Econometric Theory 7, 236 236), among others, yield an elegant unified theory but do not yield convenient formulas for calibration of skewness and kurtosis. In addition to the usual stationary case | | = 1 case of the random walk model. For the | 94) model B, where the initial value x0 is a normal random variable N(0, l or 2.

Date: 1996
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