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.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
5 articles.
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