{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T10:36:21Z","timestamp":1791887781833,"version":"4.3.4"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2001,2,7]],"date-time":"2001-02-07T00:00:00Z","timestamp":981504000000},"content-version":"unspecified","delay-in-days":6,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2001,2]]},"abstract":"<jats:p>Let {<jats:italic>X<\/jats:italic><jats:sub><jats:italic>t<\/jats:italic><\/jats:sub>} follow a discrete \nGaussian vector autoregression with deterministic components. \nWe derive the exact finite-sample joint moment generating \nfunction (MGF) of the quadratic forms that form the basis for \nthe sufficient statistic. The formula is then specialized to the \nlimiting MGF of functionals involving multivariate and univariate \nOrnstein\u2013Uhlenbeck processes, drifts, and time trends. Such \nprocesses arise asymptotically from more general non-Gaussian \nprocesses and also from the Gaussian {<jats:italic>X<\/jats:italic><jats:sub><jats:italic>t<\/jats:italic><\/jats:sub>} \nand have also been used in areas other than time series, such as \nthe \u201cgoodness of fit\u201d literature.<\/jats:p>","DOI":"10.1017\/s0266466601171070","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T09:45:46Z","timestamp":1027763146000},"page":"222-246","source":"Crossref","is-referenced-by-count":4,"title":["THE JOINT MOMENT GENERATING FUNCTION OF QUADRATIC FORMS \nIN MULTIVARIATE AUTOREGRESSIVE SERIES"],"prefix":"10.1017","volume":"17","author":[{"given":"Karim M.","family":"Abadir","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Rolf","family":"Larsson","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2001,2,7]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466601171070","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,9]],"date-time":"2019-04-09T16:10:23Z","timestamp":1554826223000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466601171070\/type\/journal_article"}},"subtitle":["The Case with Deterministic Components"],"short-title":[],"issued":{"date-parts":[[2001,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2001,2]]}},"alternative-id":["S0266466601171070"],"URL":"https:\/\/doi.org\/10.1017\/s0266466601171070","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2001,2]]}}}