Likelihood analysis of a first-order autoregressive model with exponential innovations
This paper derives the exact distribution of the maximum likelihood estimator of a first-order linear autoregression with an exponential disturbance term. We also show that, even if the process is stationary, the estimator is T-consistent, where T is the sample size. In the unit root case, the estimator is T-super-2-consistent, while, in the explosive case, the estimator is rho-super-T-consistent. Further, the likelihood ratio test statistic for a simple hypothesis on the autoregressive parameter is asymptotically uniform for all values of the parameter. Copyright 2003 Blackwell Publishing Ltd.
Year of publication: |
2003
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Authors: | Nielsen, B. ; Shephard, N. |
Published in: |
Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 24.2003, 3, p. 337-344
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Publisher: |
Wiley Blackwell |
Saved in:
freely available
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