MOMENT GENERATING FUNCTIONS AND FURTHER EXACT RESULTS FOR SEASONAL AUTOREGRESSIONS

B-Tier
Journal: Econometric Theory
Year: 1998
Volume: 14
Issue: 6
Pages: 770-782

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:14:y:1998:i:06:p:770-782_14
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-29