THE APPROXIMATE MOMENTS OF THE LEAST SQUARES ESTIMATOR FOR THE STATIONARY AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION
I derive the approximate bias and mean squared error of the least squares estimator of the autoregressive coefficient in a stationary first-order dynamic regression model, with or without an intercept, under a general error distribution. It is shown that the effects of nonnormality on the approximate moments of the least squares estimator come into play through the skewness and kurtosis coefficients of the nonnormal error distribution. a
c1 Address correspondence to Yong Bao, Department of Economics, Temple University, Philadelphia, PA 19122, USA; e-mail: firstname.lastname@example.org. Part of this work was done while the author was at the University of Texas at San Antonio.
a The author is grateful to the co-editor Paolo Paruolo and two anonymous referees for helpful comments. The author is solely responsible for any remaining errors.