On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors

Jesus Gonzalo and Jean-Yves Pitarakis

International Economic Review, 1998, vol. 39, issue 1, 71-88

Abstract: In this paper, the authors derive the exact moments of asymptotic distributions of the OLS estimate and t-statistic in an unstable AR(l) with dependent errors. The authors also study the relationship between the number of lagged dependent variables required for matching the distribution moments in the 'approximately i.i.d. erors' model with those occurring in the 'purely i.i.d.' model. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Date: 1998
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