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The joint moment generating function of quadratic forms in multivariate autoregressive series - The case with deterministic components

Larsson, R. and Abadir, K.M. (2001) The joint moment generating function of quadratic forms in multivariate autoregressive series - The case with deterministic components. Econometric Theory. pp. 222-246. ISSN 0266-4666

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Abstract

Let {X-t} follow a discrete Gaussian vector autoregression with deterministic components. We derive the exact finite-sample joint moment generating function (MGF) of the quadratic forms that form the basis for the sufficient statistic. The formula is then specialized to the limiting MGF of functionals involving multivariate and univariate Ornstein–Uhlenbeck processes, drifts, and time trends. Such processes arise asymptotically from more general non-Gaussian processes and also from the Gaussian {X-t} and have also been used in areas other than time series,such as the “goodness of fit” literature.

Item Type: Article
Copyright, Publisher and Additional Information: © 2001 Cambridge University Press
Institution: The University of York
Academic Units: The University of York > Economics and Related Studies (York)
Depositing User: Sherpa Assistant
Date Deposited: 19 Aug 2005
Last Modified: 14 Oct 2014 20:22
Published Version: http://dx.doi.org/10.1017/S0266466601171070
Status: Published
Refereed: Yes
Related URLs:
URI: http://eprints.whiterose.ac.uk/id/eprint/589

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