An Empirical Comparison of Small Sample Distributions of Estimators of the First Order Autoregression
This paper investigates the small sample distributions of estimators of the autoregressive parameter of the first order autoregression. Both conditional and exact processes are considered. The exact distributions are compared with Ochi's (1983) approximations and the Edgeworth approximations ca...
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1984
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sg-smu-ink.soe_research-11342010-09-23T05:48:03Z An Empirical Comparison of Small Sample Distributions of Estimators of the First Order Autoregression TSE, Yiu Kuen This paper investigates the small sample distributions of estimators of the autoregressive parameter of the first order autoregression. Both conditional and exact processes are considered. The exact distributions are compared with Ochi's (1983) approximations and the Edgeworth approximations calculated using the algorithm given by Tse (1983). The latter approximations are found to be more accurate than Ochi's approximations 1984-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/135 info:doi/10.1080/00949658408810734 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Economics |
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Asia |
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Singapore Singapore |
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English |
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Economics |
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Economics TSE, Yiu Kuen An Empirical Comparison of Small Sample Distributions of Estimators of the First Order Autoregression |
| description |
This paper investigates the small sample distributions of estimators of the autoregressive parameter of the first order autoregression. Both conditional and exact processes are considered. The exact distributions are compared with Ochi's (1983) approximations and the Edgeworth approximations calculated using the algorithm given by Tse (1983). The latter approximations are found to be more accurate than Ochi's approximations |
| format |
text |
| author |
TSE, Yiu Kuen |
| author_facet |
TSE, Yiu Kuen |
| author_sort |
TSE, Yiu Kuen |
| title |
An Empirical Comparison of Small Sample Distributions of Estimators of the First Order Autoregression |
| title_short |
An Empirical Comparison of Small Sample Distributions of Estimators of the First Order Autoregression |
| title_full |
An Empirical Comparison of Small Sample Distributions of Estimators of the First Order Autoregression |
| title_fullStr |
An Empirical Comparison of Small Sample Distributions of Estimators of the First Order Autoregression |
| title_full_unstemmed |
An Empirical Comparison of Small Sample Distributions of Estimators of the First Order Autoregression |
| title_sort |
empirical comparison of small sample distributions of estimators of the first order autoregression |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1984 |
| url |
https://ink.library.smu.edu.sg/soe_research/135 |
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1770569029616926720 |