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 estimator is T2-consistent, while, in the explosive case, the estimator is ρT-consistent. Further, the likelihood ratio test statistic for a simple hypothesis on the autoregressive parameter is asymptotically uniform for all values of the parameter.
- Publication status:
- Peer review status:
- Peer reviewed
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- Copyright holder:
- Blackwell Publishing Ltd
- Copyright date:
- The full-text of this article is not available in ORA at this time. Citation: Nielsen, B. & Shephard, N. (2003). 'Likelihood analysis of a first-order autoregressive model with exponential innovations', Journal of Time Series Analysis, 24(3), 337-344. [Available at http://www.blackwell-synergy.com/loi/jtsa].
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