The Student's t Approximation in a Stationary First Order Autoregressive Model

DOI10.2307/1911844MaRDI QIDQ3766682zbMATH OpenOpenAlexFDO

Authors John C. Nankervis, N. E. Savin

Publication date 1988

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1911844

zbMATH Keywords

momentsstationarityleast squaresquantilesrobustnesslocationapproximationexogenous variableempirical distributionsfinite sampleStudent's tMonte Carlo estimatesGaussian AR(1) modelpowers of testsadjustment proceduret statisticnonnormal error distributionsstationary first order autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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• The uniform validity of impulse response inference in autoregressions
• Monte Carlo response surfaces: A comparative approach
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