The exact moments of the least squares estimator for the autoregressive model

Author:

Sawa Takamitsu

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference7 articles.

1. On the theoretical specification and sampling properties of autocorrelated time-series;Barlett;Journal of the Royal Statistical Society,1946

2. Least squares bias in time series;Hurwicz,1950

3. Note on bias is estimation of autocorrelation;Kendall;Biometrika,1954

4. First order autoregression: Inference, estimation and prediction;Orcutt;Econometrica,1969

5. Finite-sample properties of the k-class estimators;Sawa;Econometrica,1972

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