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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1982
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sg-smu-ink.soe_research-12732010-09-23T05:48:03Z Edgeworth Approximations in First Order Stochastic Difference Equations with Exogenous Variables TSE, Yiu Kuen 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' results on the pure autoregressive process are also revised. 1982-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/274 info:doi/10.1016/0304-4076(82)90018-5 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Economics |
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Economics |
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Economics TSE, Yiu Kuen Edgeworth Approximations in First Order Stochastic Difference Equations with Exogenous Variables |
| description |
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' results on the pure autoregressive process are also revised. |
| format |
text |
| author |
TSE, Yiu Kuen |
| author_facet |
TSE, Yiu Kuen |
| author_sort |
TSE, Yiu Kuen |
| title |
Edgeworth Approximations in First Order Stochastic Difference Equations with Exogenous Variables |
| title_short |
Edgeworth Approximations in First Order Stochastic Difference Equations with Exogenous Variables |
| title_full |
Edgeworth Approximations in First Order Stochastic Difference Equations with Exogenous Variables |
| title_fullStr |
Edgeworth Approximations in First Order Stochastic Difference Equations with Exogenous Variables |
| title_full_unstemmed |
Edgeworth Approximations in First Order Stochastic Difference Equations with Exogenous Variables |
| title_sort |
edgeworth approximations in first order stochastic difference equations with exogenous variables |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1982 |
| url |
https://ink.library.smu.edu.sg/soe_research/274 |
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1770569095494762496 |