The joint moment generating function of quadratic forms in multivariate autoregressive series

Econometric Theory

Volumn 12, Issue 4, 1996, Pages 682-704

  Abadir, Karim M ^a   Larsson, Rolf ^b  

^a UNIVERSITY OF YORK   (United Kingdom)

^b STOCKHOLM UNIVERSITY   (Sweden)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030519279     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600006988     Document Type: Article

References (5)

1. Abadir, K.M. (1993a) The limiting distribution of the autocorrelation coefficient under a unit root. Annals of Statistics 21, 1058-1070.
2. Abadir, K.M. (1993b) OLS bias in a nonstationary autoregression. Econometric Theory 9, 81-93.
3. Abadir, K.M. (1993c) On the asymptotic power of unit root tests. Econometric Theory 9, 189-221.
4. Jensen, S.T. & B. Nielsen (1995) The Joint Laplace Transform of a Non-symmetric Quadratic Functions and Function of a Brownian Motion. Preprint 7, Institute of Mathematical Statistics, University of Copenhagen.
5. Johansen, S. (1988) Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12, 231-254. Statistics. HEC CR 541, Paris.