Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/129345
Title: Edgeworth approximations in first-order stochastic difference equations with exogenous variables
Authors: Tse, Y.K. 
Issue Date: Nov-1982
Source: Tse, Y.K. (1982-11). Edgeworth approximations in first-order stochastic difference equations with exogenous variables. Journal of Econometrics 20 (2) : 175-195. ScholarBank@NUS Repository.
Abstract: This article obtains the Edgeworth approximate distribution of the OLS estimator of the autoregressive parameter of a first-order stochastic difference equation with exogenous variables. The approximate distribution is compared with the exact distribution computed using the Imhof algorithm. Phillips' results on the pure autoregressive process are also revised. © 1982.
Source Title: Journal of Econometrics
URI: http://scholarbank.nus.edu.sg/handle/10635/129345
ISSN: 03044076
Appears in Collections:Staff Publications

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