Estimating parameters in autoregressive models in non-normal situations: symmetric innovations
نویسندگان
چکیده
The estimation of coe±cients in a simple regression model with autocorrelated errors is considered. The underlying distribution is assumed to be symmetric, one of Student's t family for illustration. Closed form estimators are obtained and shown to be remarkably e±cient and robust. Skew distributions will be considered in a future paper.
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