Likelihood analysis of a first order autoregressive model with exponential innovations

Likelihood analysis of a first order autoregressive model with exponential innovations

Pokaż inne wersje (1)

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...

Szczegółowa specyfikacja

Opis bibliograficzny
Główni autorzy:	Shephard, N, Nielsen, B
Format:	Journal article
Język:	English
Wydane:	Blackwell Publishing 2003

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