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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
1984
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/135 |
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| Institution: | Singapore Management University |
| Language: | English |