An Empirical Comparison of Small Sample Distributions of Estimators of the First Order Autoregression

Author

Yiu Kuen TSE, Singapore Management UniversityFollow

Publication Type

Journal Article

Publication Date

1984

Abstract

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

Discipline

Economics

Research Areas

Econometrics

Publication

Journal of Statistical Computation and Simulation

Volume

6

Issue

3

First Page

227

Last Page

236

ISSN

0094-9655

Identifier

10.1080/00949658408810734

Publisher

Taylor and Francis

Citation

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.
Available at: https://ink.library.smu.edu.sg/soe_research/135

Additional URL

https://doi.org/10.1080/00949658408810734