Likelihood analysis of a first order autoregressive model with exponential innovations

Likelihood analysis of a first order autoregressive model with exponential innovations

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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...

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Bibliografiske detaljer
Main Authors:	Shephard, N, Nielsen, B
Format:	Journal article
Sprog:	English
Udgivet:	Blackwell Publishing 2003

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