Estimating parameters in autoregressive models in non-normal situations: Symmetric innovations

Abstract

The estimation of coefficients in a simple regression model with autocorrelated errors is considered. The underlying distribution is assumed to be symmetric, one of Student's t family for illustration. Closed form estimators are obtained and shown to be remarkably efficient and robust. Skew distributions will be considered in a future paper. Copyright © 1999 by Marcel Dekker, Inc.