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

Published online by Cambridge University Press:  18 October 2010

Koichi Maekawa
Koichi Maekawa
Affiliation:
Hiroshima University
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Abstract

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.

Type
Articles
Information
Econometric Theory , Volume 1 , Issue 2 , August 1985 , pp. 223 - 239
Copyright
Copyright © Cambridge University Press 1985

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References

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