Likelihood analysis of a first‐order autoregressive model with exponential innovations

Bent Nielsen and Neil Shephard ()

Journal of Time Series Analysis, 2003, vol. 24, issue 3, 337-344

Abstract: Abstract. This paper derives the exact distribution of the maximum likelihood estimator of a first‐order linear autoregression with an exponential disturbance term. We also show that, even if the process is stationary, the estimator is T‐consistent, where T is the sample size. In the unit root case, the estimator is T2‐consistent, while, in the explosive case, the estimator is ρT‐consistent. Further, the likelihood ratio test statistic for a simple hypothesis on the autoregressive parameter is asymptotically uniform for all values of the parameter.

Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://doi.org/10.1111/1467-9892.00310

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:24:y:2003:i:3:p:337-344

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().