Likelihood analysis of a first order autoregressive model with exponential innovations

Journal article

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.

Authors: Shephard, N; Nielsen, B

• Publisher: Blackwell Publishing
• Journal: Journal of Time Series Analysis
• Volume: 24
• Publication date: 2003-01-01
• DOI: 10.1111/1467-9892.00310
• ISSN: 0143-9782
• Language: English