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 estim...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Blackwell Publishing
2003
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| Subjects: |