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
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2001 Cambridge University Press |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Depositing User: | Sherpa Assistant |
Date Deposited: | 19 Aug 2005 |
Last Modified: | 21 Jan 2025 17:14 |
Published Version: | https://doi.org/10.1017/S0266466601171070 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1017/S0266466601171070 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:589 |