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P. C. B. Phillips, “Approximations to Some Sample Distributions Associated with a First Order Stochastic Difference Equation,” Econometrica, Vol. 45, No. 2, 1977, pp. 463-485. doi.org/10.2307/1911222

has been cited by the following article:

• TITLE: Edgeworth Approximation of a Finite Sample Distribution for an AR(1) Model with Measurement Error

  AUTHORS: Shuichi Nagata

  KEYWORDS: Edgeworth Expansion; OLS; Measurement Error; Instrumental Variables Estimator

  JOURNAL NAME: Open Journal of Statistics, Vol.2 No.4, October 31, 2012

  ABSTRACT: In this paper, we consider the finite sample property of the ordinary least squares (OLS) estimator for an AR(1) model with measurement error. We present the Edgeworth approximation for a finite distribution of OLS up to O(T1/2). We introduce an instrumental variable estimator that is consistent in the presence of measurement error. Finally, a simulation study is conducted to assess the theoretical results and to compare the finite sample performances of these estimators.