Edgeworth approximations in first-order stochastic difference equations with exogenous variables

DOI10.1016/0304-4076(82)90018-5zbMath0499.62022MaRDI QIDQ1171848

S. Singh

Publication date: 1982

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(82)90018-5

zbMATH Keywords

ordinary least squares estimator; autoregressive parameter; exogenous variables; Edgeworth approximations; first-order stochastic difference equations

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62J05: Linear regression; mixed models

65C30: Numerical solutions to stochastic differential and integral equations

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Cites Work

• The exact moments of the least squares estimator for the autoregressive model
• A Theorem of Validity for Edgeworth Expansions
• Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
• Computing the distribution of quadratic forms in normal variables
• On methods of asymptotic approximation for multivariate distributions
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
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