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Edgeworth Expansion for the OLS Estimator in a Time Series Regression Model

In this paper we consider the situation in which ordinary least squares (OLS) is used to estimate an ARMA (1,1) model with one exogenous variable. Applying Edgeworth expansion techniques, we examine the misspecification errors and the approximate distributions of the OLS estimator. Extensive numerical studies were performed and selected results are shown graphically. In addition, a technical device is developed to calculate the Edgeworth coefficients.
Year of publication:
1985
Authors: Maekawa, Koichi
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 1.1985, 02, p. 223-239
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008739807
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