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

DOI10.2307/1911844zbMATH Open0629.62106OpenAlexW2052854634MaRDI QIDQ3766682FDOQ3766682

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

Recommendations

• Testing the autoregressive parameter with the t statistic
• scientific article; zbMATH DE number 4211329
• scientific article; zbMATH DE number 3930129
• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
• Adjusted estimates and Wald statistics for the AR(1) model with constant

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)

Cited In (16)

• Uses of entropy and divergence measures for evaluating econometric approximations and infer\-ence.
• Potential problems in estimating bilinear time-series models
• How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach
• Bootstrapping time series models
• Studentized autoregressive time series residuals
• Papers with John
• Adjusted estimates and Wald statistics for the AR(1) model with constant
• The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
• The uniform validity of impulse response inference in autoregressions
• Monte Carlo response surfaces: A comparative approach
• Alternative size corrections for some GLS test statistics. The case of the \(AR(1)\) model
• The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
• Asymptotic Expansions Associated with the AR(1) Model with Unknown Mean
• On the expectation of a ratio of quadratic forms in normal variables
• Title not available (Why is that?)

This page was built for publication: The Student's t Approximation in a Stationary First Order Autoregressive Model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3766682)