MOMENT GENERATING FUNCTIONS AND FURTHER EXACT RESULTS FOR SEASONAL AUTOREGRESSIONS

Jean-Yves Pitarakis ()

Econometric Theory, 1998, vol. 14, issue 06, pages 770-782

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.

Date: 1998

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:14:y:1998:i:06:p:770-782_14

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