کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155353 | 958494 | 2006 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper considers the asymptotic distribution of the OLS estimator in a simple, Gaussian unit-root AR(1) with fixed, non-zero startup. All asymptotic possibilities are considered. The approach is new, relatively simple, and relies on observing and determining the asymptotic/limiting behavior of the underlying finite sample distribution. It does not rely on inversion of joint moment generating or characteristic functions to derive limiting distributions. The paper introduces small-sigma/parameter-based asymptotic theory and re-examines large-sample asymptotic theory. In addition, combinations of these asymptotic approaches are considered explicitly. The analysis provides a set of very interesting and sometimes surprising results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 76, Issue 1, 1 January 2006, Pages 27-34
Journal: Statistics & Probability Letters - Volume 76, Issue 1, 1 January 2006, Pages 27-34
نویسندگان
Dimitrios V. Vougas,