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...
| Principais autores: | , |
|---|---|
| Formato: | Journal article |
| Idioma: | English |
| Publicado em: |
Blackwell Publishing
2003
|
Search Result 1
Likelihood analysis of a first order autoregressive model with exponential innovations
Publicado em 2003
Journal article