An Approximation to the Distribution of the Least Square Estimator in an Autoregressive Model with Exogenous Variables

DOI10.2307/1912258zbMath0516.62027OpenAlexW2001568929MaRDI QIDQ3664211

Koichi Maekawa

Publication date: 1983

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912258

zbMATH Keywords

autoregressive modelleast squares estimatorEdgeworth expansionexogenous variablesanalytical derivation

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 (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 ⋮ Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models ⋮ Bias correction of OLSE in the regression model with lagged dependent variables.

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