Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations

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

zbMATH Keywords

Edgeworth approximationnonstationary autoregressive modelnormal errorsdistribution of the least squares estimatornonstable first order stochastic difference equations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (10)

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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