The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series

Karim Abadir and Rolf Larson

Discussion Papers from University of Exeter, Department of Economics

Abstract: Let Xt be a discrete multivariate autoregressive process of order 1. The paper derives the joint moment generating function (mgf) of the two quadratic forms that are used to define statistics relating to the parameters of this process. The formula is then specialized to some cases of interest, including the mgf of functionals of multivariate Ornstein-Uhlenbeck processes.

Keywords: Vector Autoregressive (VAR) processes; moment generating function (mgf); quadratic forms; functionals of multivariate Wiener and Ornstein-Uhlenbeck processes; systems of ordinary difference equations. (search for similar items in EconPapers)
Date: 1994
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