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https://scholarbank.nus.edu.sg/handle/10635/146994
DC Field | Value | |
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dc.title | FINITE SAMPLE DISTRIBUTIONS OF THE OLS ESTIMATOR IN A FIRST ORDER AUTOREGRESSIVE MODEL. | |
dc.contributor.author | RYAN GOH WEI QUAN | |
dc.date.accessioned | 2018-09-05T06:01:33Z | |
dc.date.available | 2018-09-05T06:01:33Z | |
dc.date.issued | 2018-04-09 | |
dc.identifier.citation | RYAN GOH WEI QUAN (2018-04-09). FINITE SAMPLE DISTRIBUTIONS OF THE OLS ESTIMATOR IN A FIRST ORDER AUTOREGRESSIVE MODEL.. ScholarBank@NUS Repository. | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/146994 | |
dc.description.abstract | It is well-known that the least-square estimator φˆ in the firstorder autoregressive model for the unit root case is biased in finite samples and its exact distribution remains hitherto unknown. We propose a new methodology to derive closed-form expressions to analyse the finite-sample distributional properties of φˆ corresponding to the unit root case where the initial value y0 is a constant with probability one. Using this framework, we can evaluate higher-order moments, critical values as well as the cumulative distribution function corresponding to various sample sizes and initial values through the use of numerical integration of closed-form integral expressions, which are smooth and continuous. In addition, a novel asymptotic closed-form expression for the first moment is derived. Our results are in close agreement with the values obtained in the survey of the existing literature. | |
dc.subject | Unit Root, Joint Moment Generating Function, Cumulative Distribution Function | |
dc.type | Thesis | |
dc.contributor.department | ECONOMICS | |
dc.contributor.supervisor | ALBERT TSUI | |
dc.description.degree | Bachelor's | |
dc.description.degreeconferred | Bachelor of Science (Honours) in Physics | |
dc.description.degreeconferred | Bachelor of Social Sciences (Honours) | |
Appears in Collections: | Bachelor's Theses |
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Ryan Goh Wei Quan AY1718 Sem 2.pdf | 458.28 kB | Adobe PDF | RESTRICTED | None | Log In |
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