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Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations

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  • Satchell, Stephen Ellwood

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  • Satchell, Stephen Ellwood, 1984. "Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations," Econometrica, Econometric Society, vol. 52(5), pages 1271-1289, September.
    • Handle: RePEc:ecm:emetrp:v:52:y:1984:i:5:p:1271-89
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    Cited by:

    1. Pierre Perron & Cosme Vodounou, 2001. "Asymptotic approximations in the near-integrated model with a non-zero initial condition," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-42.
    2. Sneek, J.M., 1991. "Approximating the distribution of sample autocorrelations of some ARIMA processes in O(n) operations," Serie Research Memoranda 0022, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    3. Marsh, Patrick, 2001. "Edgeworth expansions in Gaussian autoregression," Statistics & Probability Letters, Elsevier, vol. 54(3), pages 233-241, October.
    4. Vougas, Dimitrios V., 2006. "Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression," Statistics & Probability Letters, Elsevier, vol. 76(1), pages 27-34, January.
    5. Mukhtar M. Ali, 1996. "Distribution of the Least Squares Estimator in a First-Order Autoregressive Model," Econometrics 9610004, University Library of Munich, Germany.
    6. Phillips, Peter C.B. & Magdalinos, Tassos & Giraitis, Liudas, 2010. "Smoothing local-to-moderate unit root theory," Journal of Econometrics, Elsevier, vol. 158(2), pages 274-279, October.
    7. Ian Domowitz & Lars Muus, 1985. "Inference in the Explosive First-Order Linear Dynamic Regression Model," Discussion Papers 672, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

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