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The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series

Author

Listed:
  • Abadir, Karim
  • Larson, Rolf

Abstract

Let Xt be a discrete multivariate autoregressive process of order 1. The paper derives the joint moment generating function (mgf) of the two quadratic forms that are used to define statistics relating to the parameters of this process. The formula is then specialized to some cases of interest, including the mgf of functionals of multivariate Ornstein-Uhlenbeck processes.

Suggested Citation

  • Abadir, Karim & Larson, Rolf, 1994. "The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series," Discussion Papers 9404, University of Exeter, Department of Economics.
    • Handle: RePEc:exe:wpaper:9404
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    Cited by:

    1. Gonzalo, J. & Pitaris, J.Y., 1995. "On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors," Papers 35, Boston University - Department of Economics.

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