Abstract
In this paper we have derived the exact first and second moments of the OLS estimator of α in the model y t = α y t-1 + u t. Sawa (1978) has analyzed this model when u t is a white noise. We have extended his analysis to the case where u t follows MA(l) (first order moving average) proces with the coefficient different from α both with and without an intercept term in the model.
Cited by
4 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献