ERA's: A New Approach to Small Sample Theory

DOI10.2307/1912287MaRDI QIDQ3684989zbMATH OpenOpenAlexFDO

Authors 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

approximation of continuous probability distributionscharacterizationERA'serror boundExistenceextended rational approximantsmultiple-point Padé approximantsnoncircular serial correlation coefficientsmall sample theoryuniqueness theorems

Mathematics Subject Classification ID

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

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Cited in

(10)

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

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