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

DOI10.2307/1911844zbMath0629.62106OpenAlexW2052854634MaRDI QIDQ3766682

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

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

Mathematics Subject Classification ID

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

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