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Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
Abstract
Edgeworth series expansions are obtained of the finite sample distributions of the least squares estimator and the associated t ratio test statistic in the context of a first-order noncircular stochastic difference equation. General formulae are given for these expansions up to 0(Th1) where T is the sample size and explicit representations of these in terms of the true parameters are derived up to 0(12). Some numerical comparisons of the approximations and the exact distributions are made in the case of the least squares estimator.
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Citations
Cited by
Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
Andrews, D. W. K. (1993) · Econometrica · doi:10.2307/2951781 · Cited by 470
ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
Phillips, P. C. B. (2023) · Econometric Theory · doi:10.1017/s0266466622000342 · Cited by 44
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Metadata
- Authors
- Phillips, P. C. B.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1977-03
- Volume
- 45
- Issue
- 2
- Pages
- 463
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W1969283701
- Cited by
- 211
- References
- 0
- FWCI
- 5.20
- Type
- journal article
- Language
- en
- Open access
- closed
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- Phillips, P. C. B. (1977). Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation. Econometrica. https://doi.org/10.2307/1911222
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
