ERA's: A New Approach to Small Sample Theory

DOI10.2307/1912287zbMath0568.62021OpenAlexW2137368820MaRDI QIDQ3684989

Peter C. B. Phillips

Publication date: 1983

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d06/d0645.pdf

zbMATH Keywords

characterizationerror boundExistenceuniqueness theoremsmultiple-point Padé approximantsapproximation of continuous probability distributionsERA'sextended rational approximantsnoncircular serial correlation coefficientsmall sample theory

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Approximation by rational functions (41A20) Padé approximation (41A21)

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Estimating continuous-time stochastic volatility models of the short-term interest rate ⋮ The size bias of White's information matrix test ⋮ THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS ⋮ Assessing the value of Hermite densities for predictive distributions ⋮ A least squares-type density estimator using a polynomial function ⋮ Estimation of dynamic models with nonparametric simulated maximum likelihood ⋮ Testing the autoregressive parameter with the t statistic ⋮ Approximations of choice probabilities in mixed logit models ⋮ Semi-nonparametric estimation of secret reserve prices in auctions ⋮ RISK PERCEPTION AND EQUITY RETURNS: EVIDENCE FROM THE SPX AND VIX

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