Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume
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Publication:3914293
DOI10.2307/2297109zbMATH Open0463.62109OpenAlexW2017697223MaRDI QIDQ3914293FDOQ3914293
Authors: Peter C. B. Phillips 
Publication date: 1980
Published in: Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2297109
Applications of statistics to economics (62P20) Sampling theory, sample surveys (62D05) Asymptotic distribution theory in statistics (62E20)
Cited In (13)
- Edgeworth approximations in first-order stochastic difference equations with exogenous variables
- The exact moments of OLS in dynamic regression models with non-normal errors
- Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
- Multilevel simultaneous equation model: a novel specification and estimation approach
- Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model
- Multivariate distributions involving ratios of normal variables
- The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity
- The moments of OLS and 2SLS when the disturbances are non-normal
- Generating functions and short recursions, with applications to the moments of quadratic forms in noncentral normal vectors
- Small sample properties of ridge estimators with normal and non-normal disturbances
- Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances
- On calculating the Edgeworth approximate distribution of an econometric estimator or test statistic
- On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
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