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Journal of Statistical Computation and Simulation Volume 42, 1992 - Issue 1-2
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Original Articles

Numerical computation of exact moments of the least squares estimator in a first-order stationary autoregressive model

Albert K. Tsui Department of Economics & Statistics, National University of Singapore, Singapore, 0511, Sinapore
&
Mukhtar M. Ali Department of Economics, University of Kentucky, Lexington, KY, 40506, USA
Pages 65-78 | Received 07 Dec 1990, Published online: 20 Mar 2007

Citations (4)

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Read on this site (1)

Albert K. Tsui. (1993) Empirical comparison of finite sample distribution of the least squares estimator in a non-statonary autoregressive model. Journal of Statistical Computation and Simulation 48:1-2, pages 1-9.
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Articles from other publishers (3)

Jan F. Kiviet & Garry D.A. Phillips. (2012) Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models. Computational Statistics & Data Analysis 56:11, pages 3705-3729.
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H.D. Vinod & L.R. Shenton. (2009) Exact Moments for Autor1egressive and Random walk Models for a Zero or Stationary Initial Value. Econometric Theory 12:3, pages 481-499.
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Albert K. Tsui & Mukhtar M. Ali. (1994) Exact distributions, density functions and moments of the last squares estimator in a first-order autoregressive model. Computational Statistics & Data Analysis 17:4, pages 433-454.
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