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 calculated using the algorithm given by Tse (1983). The latter approximations are found to be more accurate than Ochi's approximations
Journal of Statistical Computation and Simulation
Taylor and Francis
TSE, Yiu Kuen.
An Empirical Comparison of Small Sample Distributions of Estimators of the First Order Autoregression. (1984). Journal of Statistical Computation and Simulation. 6, (3), 227-236. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/135