Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations
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Publication:3221185
DOI10.2307/1910999zbMath0557.62018OpenAlexW1995894555MaRDI QIDQ3221185
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Publication date: 1984
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1910999
Edgeworth approximationnonstationary autoregressive modelnormal errorsdistribution of the least squares estimatornonstable first order stochastic difference equations
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL ⋮ Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model ⋮ Structural change and unit roots ⋮ The exact moments of OLS in dynamic regression models with non-normal errors ⋮ ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS ⋮ TRANSFORMATIONS FOR MULTIVARIATE STATISTICS ⋮ Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression ⋮ Edgeworth expansions in Gaussian autoregression ⋮ Smoothing local-to-moderate unit root theory ⋮ Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
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