In this paper we derive the exact moments of asymptotic distributions of the OLS estimate and t - statistic in an unstable AR(1) with dependent errors. We also study the relationship between the number of lagged dependent variables required for matching the distribution moments in the 'approximately i.i.d. errors' model with those occurring in the 'purely i.i.d.' model.
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Gonzalo et al. (1998) studied this question.
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