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Finite Sample Econometrics$
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Aman Ullah

Print publication date: 2004

Print ISBN-13: 9780198774471

Published to Oxford Scholarship Online: August 2004

DOI: 10.1093/0198774478.001.0001

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Dynamic Time Series Model

Dynamic Time Series Model

Chapter:
(p.129) 6 Dynamic Time Series Model
Source:
Finite Sample Econometrics
Author(s):

Aman Ullah (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198774478.003.0006

This chapter presents the finite sample analysis of the time series models used in economics and finance. It considers the autoregressive model (AR), AR with regressors, and autoregressive moving average models with regressors. The exact and approximate moments, as well as distributions of the estimators of the lag coefficients and regression coefficients were derived and analysed.

Keywords:   time series models, autoregressive model, moments, distributions, lag coefficients

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