Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume

DOI10.2307/2297109zbMath0463.62109OpenAlexW2017697223MaRDI QIDQ3914293

Peter C. B. Phillips

Publication date: 1980

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2297109

zbMATH Keywords

Edgeworth expansionsconsumption

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Sampling theory, sample surveys (62D05)

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Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model ⋮ Multivariate distributions involving ratios of normal variables ⋮ 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 ⋮ Small sample properties of ridge estimators with normal and non-normal disturbances ⋮ The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity ⋮ Edgeworth approximations in first-order stochastic difference equations with exogenous variables ⋮ GENERATING FUNCTIONS AND SHORT RECURSIONS, WITH APPLICATIONS TO THE MOMENTS OF QUADRATIC FORMS IN NONCENTRAL NORMAL VECTORS ⋮ Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances ⋮ The moments of OLS and 2SLS when the disturbances are non-normal ⋮ On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators ⋮ Multilevel simultaneous equation model: a novel specification and estimation approach ⋮ Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process

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