SECOND ORDER EXPANSION OF THE T-STATISTIC IN AR(1) MODELS

DOI10.1017/S0266466614000383zbMath1442.62202OpenAlexW2031088340MaRDI QIDQ5255868

Anna Mikusheva

Publication date: 22 June 2015

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000383

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process

Cites Work

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