Footnote:
In: Econometric Theory, Vol. 12, p. 682, 1996
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 1996 erstellt
Description:
Let {X_{t}} follow a discrete Gaussian Vector Auto-Regression with deterministic components. We derive the exact finite-sample joint Moment Generating Function (MGF) of the quadratic forms that form the basis for the sufficient statistic. The formula is then specialized to the limiting MGF of functionals involving multivariate and univariate Ornstein-Uhlenbeck processes, drifts and time trends. Such processes arise asymptotically from more general non-Gaussian processes as well as the Gaussian {X_{t}}, and have also been used in areas other than time series, such as the 'goodness of fit' literature