The joint moment generating function of quadratic forms in multivariate autoregressive series: The case with deterministic components

Econometric Theory

Volumn 17, Issue 1, 2001, Pages 222-246

  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: 0035611803     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466601171070     Document Type: Article

References (10)

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2. Abadir, K.M. & R. Larsson (1996) The joint moment generating function of quadratic forms in multivariate autoregressive series. Econometric Theory 12, 682-704.
3. Abadir, K.M. & P. Paruolo (1997) Two mixed normal densities from cointegration analysis. Econometrica 65, 671-680.
4. d'Agostino, R.B. & M.A. Stephens (eds.) (1986) Goodness-of-fit Techniques. New York: Marcel Dekker.
5. Anderson, T.W. & D.A. Darling (1952) Asymptotic theory of certain "goodness of fit" criteria based on stochastic processes. Annals of Mathematical Statistics 23, 193-212.
6. Gönen, M., M.L. Puri, F.H. Ruymgaart, & M.C.A. van Zuijlen (1999) The limiting density of unit root test statistics: A unifying technique. Journal of Time Series Analysis, forthcoming.
7. Nielsen, B. (1997) On the Distribution of Cointegration Tests. Ph.D. Thesis, University of Copenhagen, Institute of Mathematical Statistics.
8. Perron, P. (1991) A continuous time approximation to the unstable first-order autoregressive process: The case without an intercept. Econometrica 59, 211-236.
9. Rothenberg, T.J. (1999) Some Elementary Distribution Theory for an Autoregression Fitted to a Random Walk. Mimeo, University of California, Berkeley.
10. Tanaka, K. (1996) Time Series Analysis: Nonstationary and Noninvertible Distribution Theory. New York: Wiley.