Edgeworth Approximations in First Order Stochastic Difference Equations with Exogenous Variables
Publication Type
Journal Article
Publication Date
1982
Abstract
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.
Discipline
Economics
Research Areas
Econometrics
Publication
Journal of Econometrics
Volume
20
Issue
2
First Page
175
Last Page
195
ISSN
0304-4076
Identifier
10.1016/0304-4076(82)90018-5
Publisher
Elsevier
Citation
TSE, Yiu Kuen.
Edgeworth Approximations in First Order Stochastic Difference Equations with Exogenous Variables. (1982). Journal of Econometrics. 20, (2), 175-195.
Available at: https://ink.library.smu.edu.sg/soe_research/274
Additional URL
https://doi.org/10.1016/0304-4076(82)90018-5