Vinod, H.D.; Shenton, L.R. - In: Econometric Theory 12 (1996) 03, pp. 481-499
For a first-order autoregressive AR(1) model with zero initial value, x<sub>i</sub> = ax<sub>i−1</sub>,_, + e<sub>i</sub>, we provide the bias, mean squared error, skewness, and kurtosis of the maximum likelihood estimator â. Brownian motion approximations by Phillips (1977, Econometrica 45, 463–485; 1978, Biometrika 65,...
