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...
| Հիմնական հեղինակներ: | , |
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| Ձևաչափ: | Journal article |
| Լեզու: | English |
| Հրապարակվել է: |
Blackwell Publishing
2003
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| Ամփոփում: | 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 T2-consistent, while, in the explosive case, the estimator is ρT-consistent. Further, the likelihood ratio test statistic for a simple hypothesis on the autoregressive parameter is asymptotically uniform for all values of the parameter. |
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