Abstract
Abstract
In this paper we have derived the exact first and second moments of the OLS estimator of α in the model y t = αyt-1 + u t . Sawa (1978) has analyzed this model when u t is a white noise. We have extended his analysis to the case where u t follows MA(l) (first order moving average) proces with the coefficient different from α both with and without an intercept term in the model.
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