Edgeworth expansions in Gaussian autoregression
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- Patrick Marsh, "undated". "Edgeworth Expansions in Gaussian Autoregression," Discussion Papers 00/58, Department of Economics, University of York.
References listed on IDEAS
- Yoshihide Kakizawa, 1999. "Valid Edgeworth Expansions of Some Estimators and Bootstrap Confidence Intervals in First‐order Autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(3), pages 343-359, May.
- Taniguchi, M. & Watanabe, Y., 1994. "Statistical Analysis of Curved Probability Densities," Journal of Multivariate Analysis, Elsevier, vol. 48(2), pages 228-248, February.
- Phillips, Peter C B, 1977. "Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation," Econometrica, Econometric Society, vol. 45(2), pages 463-485, March.
- 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.
- Yoshimichi Ochi, 1983. "Asymptotic Expansions For The Distribution Of An Estimator In The First‐Order Autoregressive Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(1), pages 57-67, January.
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