Edgeworth Approximations in First Order Stochastic Difference Equations with Exogenous Variables

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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書目詳細資料
主要作者:	TSE, Yiu Kuen
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 1982
主題:	Economics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/274
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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