Edgeworth Approximations in First Order Stochastic Difference Equations with Exogenous Variables
This article obtains the Edgeworth approximate distribution of the OLS estimator of the autoregressive parameter of a first-order stochastic difference equation with exogenous variables. The approximate distribution is compared with the exact distribution computed using the Imhof algorithm. Phillips...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
1982
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/274 |
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| Institution: | Singapore Management University |
| Language: | English |