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

error bounduniqueness theoremscharacterizationExistencemultiple-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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Cited in

(10)

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

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