Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models
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Publication:4415854
DOI10.1111/1368-423X.12017zbMath1104.62333MaRDI QIDQ4415854
Garry D. A. Phillips, Jan F. Kiviet
Publication date: 7 August 2003
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.12017
62P20: Applications of statistics to economics
62J99: Linear inference, regression
65C05: Monte Carlo methods
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