Edgeworth approximations in first-order stochastic difference equations with exogenous variables

DOI10.1016/0304-4076(82)90018-5zbMath0499.62022OpenAlexW2013958908MaRDI QIDQ1171848

S. Singh

Publication date: 1982

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(82)90018-5

zbMATH Keywords

ordinary least squares estimatorautoregressive parameterexogenous variablesEdgeworth approximationsfirst-order stochastic difference equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

On least-squares bias in the \(AR(p)\) model: Bias correction using the bootstrap methods ⋮ Bias approximations for covariance parameter estimators in the linear model with ar(1) errors ⋮ The exact moments of OLS in dynamic regression models with non-normal errors ⋮ On calculating the Edgeworth approximate distribution of an econometric estimator or test statistic ⋮ Bias correction of OLSE in the regression model with lagged dependent variables.

Cites Work

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• A Theorem of Validity for Edgeworth Expansions
• Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
• Computing the distribution of quadratic forms in normal variables
• On methods of asymptotic approximation for multivariate distributions
• Asymptotic expansions for the mean and variance of the serial correlation coefficient

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